.nk2 file when using an exchange server?

I started a new job recently, and noticed right away that when I quit
Outlook 2003 then restarted it, all my autocomplete information was
gone. The autocomplete feature works for Outlook 2003, but only saving
the addresses/nicknames/whatever that I use in a session. They're
dumped once I quit Outlook.

Did some digging and learned about the .nk2 file. But I guess we have
an Exchange server at my office, and my PST file is located on the
server, not on my local computer. Our administrator says that I can
get the autocomplete to work by making a profile that keeps my Outlook
stuff on my computer - but I'd then lose the data if the computer
crashed. Is this true? That is, is it not possible to have
autocomplete stuff saved upon quitting Outlook if your mailbox resides
on a server?

I cannot find a .nk2 file for myself either on my machine or on the
server. I know where it's supposed to be on my machine, but where
would it be on the server?

Or more importantly, how would I make my autocomplete not lose its
cache every time I quit Outlook?