Problem importing OE mail to Outlook 2003

I too have burned hours trying to crack the code of how to import OE mail and addresses into Outlook 2003. I have copied MBX, eml, dbx files onto CDs and moved them over to the new PC and copied them down to the hard drive where they are read/write files. When I run Import in outlook 2003 I get "mail folder could not be opened. if another application is using the file, please close and try again"
I have heard it's easier to export in OE and copy the file to the new system, import to OE and export again and Import in OUtlook 2003. So what's the file I"m looking for which is exported from OE
Any help would be greatly appreciated!