The following is taken from here -
http://office.microsoft.com/en-us/outlook/HA010943871033.aspx
Import messages from Outlook Express -
To transfer messages by using the Import and Export Wizard, you must first
locate and copy the correct files from the computer where Outlook Express is
installed to the computer where Outlook is installed.
Note Copying the Outlook Express information to a shared location won't
work. You must copy the folder to the same computer where Outlook is
installed.
Copy Outlook Express folder
On the computer where your Outlook Express account is set up, in Outlook
Express, on the Tools menu, click Options.
Click the Maintenance tab.
Click Store Folder, and then note the entire path shown in the field in the
Store Location dialog box.
Tip Record this location so that you can recall it later in this procedure.
You can do this quickly by selecting the information in the field, pressing
CTRL+C to copy, and then opening Microsoft Notepad and pressing CTRL+V to
paste it there.
If necessary, modify the default view in Windows Explorer so that you can
see hidden folders. The Outlook Express folder is located in a hidden folder.
How?
Microsoft Windows® XP or Microsoft Windows Server™ 2003
Click Start, and then click My Computer.
On the Tools menu, click Folder Options.
Click the View tab, and then click the Show hidden files and folders option.
Microsoft Windows® 2000
Double-click My Computer on your desktop.
Note If My Computer is not on your desktop, click Start, point to Programs,
point to Accessories, and then click Windows Explorer.
On the Tools menu, click Folder Options.
Click the View tab, and then click the Show hidden files and folders option.
Browse to the location that you found in the Store Location dialog box.
Do one of the following:
Copy the entire Outlook Express folder to removable media, such as a floppy
disk, DVD, or portable memory device, and then copy it to the computer where
Outlook is installed.
Note When you transfer this information to the computer with Outlook, the
destination is not critical, because the information will only be stored
there temporarily. Copy it to a place that you can easily remember and find.
Copy the entire Outlook Express folder to a network location that the
computer with both Outlook and Outlook Express has access to.
On the computer where Outlook is installed, open Outlook Express. If
prompted to create an e-mail account, click Cancel.
On the Tools menu, click Options.
Click the Maintenance tab.
Click Store Folder and then click Change.
Browse to the location where you copied the Outlook Express folder, and then
click the folder that you copied in step 6. Click OK.
To close the Store Location dialog box, click OK.
When prompted to use the new messages or replace them with messages from the
old store location, click Yes to switch to that store.
Close Outlook Express, and then open it again to complete the process.
Import Outlook Express messages into Outlook
In Outlook, on the File menu, click Import and Export.
Click Import Internet Mail and Addresses, and then click Next.
Click Outlook Express.
Select the Import mail check box.
Click Next.
Click Finish.
To save a copy of the import summary to your Inbox, click Save in Inbox.
