Export messages from Windows Mail to Outlook

I'm struggling to export my messages from Windows Mail to Outlook 2003 (which
is installed and running on my computer).

When I export to Microsoft Exchange format, the outlook.pst file is created
in C:\User\username\AppData\Local\Microsoft\Outlook\..., not under "roaming"
as described below. If I try to import this file into Outlook I get an error
message "The source and destination folders for this operation cannot be the
same".

I've tried exporting to Windows Mail format, but then I can't figure out how
to import this into Outlook.

There's a possibility you have to copy the outlook.pst file that was
created to some other directory before you import the copy, in
order to avoid that error message.

Don't attempt to import the created .PST file, just open it. In Outlook
2003, go to 'File|Open|Outlook Data File', navigate to this created .PST
file, and click OK. You can now drag and drop anything you need from this
..PST file into your default Outlook 2003 .PST file.

[riomagic]

I had facing same issue, my my tech guys did did helped me out to export my windows mail to outlook 2010 they told me about softlay windows live mail converter tool to do this.
I tried the tool and it worked for me. now i am using outlook and very satisfied with the tool.