If I remember correctly, it was a regular folder with a special icon. The intention was that you could drag&drop it to some removable media to move between computers.
I guess MS envisioned it as a digital replacement for the physical suitcase of documents you'd bring to/from work.
Furthermore, this "digital replacement" strategy can be seen in other (now mostly defunct) MS programs such as that program that was bundled with windows 3.11 ( I think it was called wincard.exe) that mimiced a rolodex.
I'll take my MCSE now, thank you.
EDIT: Seems there was some sync stuff with it as well. I'll settle for some junior certification, thank you.