The 'Import' does work with messages but it is a little fiddly!

Go to OE > Tools > Maintenance Tab > Store Folder.

Make a note of its location and navigate to it. If you haven't moved it, it's here C:\Documents and Settings\user name\Local Settings\Application Data\Identities\{1F719000-0D78-4B9A-A481-CCD006F11688}\Microsoft\Outlook Express. You may have to show 'hidden' files in Folder Options to see it.

Copy the folder Outlook Express and its contents to an external source.

In Windows Mail go to Import Messages and follow the wizard to import, say, your Inbox and Sent Items from the folder you made earlier.

Once these are imported, a sub-folder is created for each one imported. Go to it and drag the messages to the Inbox proper. Repeat this for Sent Items.

After copying you can delete the now empty sub-folders.