Inside my Exchange server there is a directory called mdbdata, and inside this directory there is a LARGE file called priv.edb. Is it safe to delete this file? If not, what exactly is it used for? Thanks! No, you absolutely do not want to delete that as it contains your private information store (e.g., the mailboxes and their contents). You'll also see a companion files called pub.edb, which is your public information store (e.g., your...
public folders and their contents).
I'd recommend reading up on Exchange to learn about how it works, where it stores data, how to protect that data, etc. You didn't say what version of Exchange you are running, so I can't recommend a specific book; however, you should be able to find a good book here, at your local bookstore, your local library and other online stores.
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