For the life of me I can't find user.da0 or system.da0 anywhere in the \windows\ directory. I did a dir *.da0 /s /a:h /a:s and I did the regular graphical search for the whole hard drive. I made sure to check for hidden files and system files too. I've also read from one of my study guides that the *.da0 files are a myth because the author can't seem to find them either.
I can't find it in win XP neither!