ME & 98 stored the DBX files and Address Book in a
Windows\Application Data folder.
XP stores them in the
Documents and Settings\<username>\local settings\..... folder

Open Windows Explorer
Tools | Folder Options
Select "Show all files"
uncheck only Hide file extensions fro known file types.
click apply then ok

Now,  navigate to the Windows\Application Data folder.
Drill down till you file the Inbox.dbx file.
Do the Same for the Address Book's wab file.
Write down these locations.

From OE:
File | Import | Messages | Microsoft Outlook Express 6 | Import mail from an
OE6 store directory.
Press OK
Press Browse and navigate to the folder where the dbx files were found.
Select it then press OK and finish up the import.

For the Address Book, File | Import | Address Book
navigate to the folder where the WAB file was found and import it.