Copy ALL the mail files from OE (including the one called Folders.dbx) and
paste them into a folder you have created on your new machine, to which you
have read/write permissions. A folder within your Documents folder would
seem to be the best place.
Then in Windows Mail, do File-Import-Messages, highlight Microsoft Outlook
Express, and click next.
Make sure that "Import from an OE6 Store directory is checked, (that's why
you need to copy the folders.dbx file, because that tells WM the folder is
an OE message store) and click on OK. Browse to the folder you created.

If you used Outlook Express on the old computer, see
http://www.oehelp.com/backup.aspx#oe2wm

Especially pay attention to the part about the path.