This will export messages from Windows Live Mail to Microsoft Outlook or Microsoft Exchange.Click on OK when you see the following message: In the Windows Live Mail Export Wizard, select Microsoft Exchange, and then click Next.On the File menu, select Export, and then select Messages. In WLM, click File to show the File menu bar.You need to set a PST file to save the messages. Even an account that doesn’t have a correct server is sufficient. The follow process will allow you to import your messages from Windows Live Mail to Outlook 2010. At best it is a slightly sooped up Outlook Express from Windows XP days. I’ve had a couple of cases where someone asked how to migrate from Windows Live Mail to Outlook of late – partially because WLM isn’t the best of mail clients.