You can get a complete list of checked out files by using the tf.exe command line tool found in: C:\Program Files\Microsoft Visual Studio 8\Common7\IDE

All checked out files in $/MyProject:

tf.exe status $/MyProject /user:* /s:http://MyTfsServer:8080 /recursive

All files checked out to Mark:

tf.exe status /user:mark /s:http://MyTfsServer:8080

You can write the output to a file:

tf.exe status /user:* /s:http://MyTfsServer:8080 > c:\checkedout.txt