The PST Importer will ask you for an Export Directory when processing PST Files. Which Export Directory is this referring to?
Contents in the PST are generated into XML files just like messages from the live mailbox. They need to be placed into the Export Directory on the Archive Manager Server in order for the data loader service to process them into the database.
Share the Export Directory on the Archive Manager Server and specify its UNC path when prompted in the PST Importer.