In order to import OE4 messages they must be located on a local hard drive
in a sub-folder named Mail and must not have the Read Only attribute set.
(This is commonly set if they were backed up on a CD.)

Make sure that the MBX/IDX file pairs are there along with Folders.nch.
Then use File | Import | Messages | Microsoft Outlook Express 4 and point to
the folder that holds the /Mail sub-folder, not to the /Mail sub-folder
itself or the data files.

If you cannot get this to work, use this tool to extract the messages as
*.eml files and then drag the messages back in to an OE folder:

MBXtract: http://www.oehelp.com/MBXtract/

First, back them up to disk
http://insideoe.tomsterdam.com/backup/index.htm

Copy the entire backup set to the HDD of the WinXP machine (you cannot
import any OE files directly from disk) and import them into OE6 by
following (exactly) the steps outlined in
http://insideoe.tomsterdam.com/faqs/how.htm#importOE4.

Also see MVP Gary Woodruff's page on WinXP's File and Settings Transfer
(FAST) wizard:
http://aumha.org/win5/a/fast.htm

Otherwise, you may extract the messages contained in the MBX files using
MBXtract.http://www.oehelp.com/MBXtract/Default.aspx.