1) Open Windows Live Mail.
2) Press Alt once. You should see the row of menu.

3) Click on File.
4) Point to Export and click on Messages.
5) Select Microsoft Exchange and Click Next.

6) Click OK at the message prompt.
7) Select the folders that you would want to export to Microsoft Outlook 2007. To select multiple folders, hold down Ctrl and click on the folders.
8) Click OK to start exporting the messages.
9) Restart Microsoft Outlook 2007.