From OE HELP:
To import messages from other e-mail programs
Using the Outlook Express Import Wizard, you can easily import e-mail messages from a variety of popular
Internet e-mail programs such as Netscape Communicator and Eudora, as well as from Microsoft Exchange and
Microsoft Outlook.
On the File menu, point to Import, and then click Messages.
Select the e-mail program you want to import messages from, and then click Next.
Verify the location of your messages, and then click Next.
Choose All folders to import all the messages, and then click Next. You can also choose Selected Folders to
import messages from one or more folders.
Click Finish.
Note
If you are unsure which e-mail program and version you want to import messages from, start the e-mail program.
On the Help menu, select About and check the information.