See the following sites, the important part that you may be encountering is
that the .dbx files need to have the read only attribute removed?
http://insideoe.tomsterdam.com/backup/index.htm
http://www.oehelp.com/backup.aspx
http://support.microsoft.com/?id=270670

Outlook97/98/2000+ uses PST files.  Outlook Express uses DBX files.

If you are switching from Outlook to Outlook Express, you need to do the
import a PC with both installed (e.g. your old PC).  Then you can
transfer the DBX files from the old PC to the new one.

How to Import MMF or PST Files into Outlook Express
http://support.microsoft.com/?kbid=176267
Err Msg: Messages Cannot Be Imported From the MAPI Client
http://support.microsoft.com/?kbid=188804
OE: MAPI Error Messages When You Import or Export Messages
http://support.microsoft.com/?kbid=179637

Backing Up, Recovering and Restoring Outlook Express versions 5 & 6
Files and Settings
http://www.oehelp.com/backup.aspx
http://www.insideoe.com/backup/index.htm