This indeed cannot be done in a 1-step process as Outlook cannot directly import from an Outlook Express or Windows Mail message store. However, there are 2 options to still get your mail imported into Outlook.
Option 1: Export to Outlook on your old computer
Your first option involves installing Outlook on the old computer (if it isn’t installed already). There is no need to activate it but just to be safe, you can also install a trial version.
Once you’ve installed it, open Outlook at least once. When you are being prompted to add an account, you can select that you do not want to add an account and confirm that you want to start Outlook without creating an account.
After that, you can use the Export command from within Outlook Express or Windows Mail to get your messages into Outlook. From there, you can backup your pst-file on the old computer and restore it on the new computer.
To see the File menu in Windows Live Mail on Windows XP, press ALT on your keyboard.
Option 2: Migrate via Windows Live Mail on your new computer
If all you have is the message store from Outlook Express or Windows Mail, then you’ll have to install Windows Live Mail on your Windows 7, Windows 8 or Windows 10 computer first.
Since Windows Live Mail is the replacement of Outlook Express and Windows Mail, it can directly load the message stores of it predecessors by using the “Import messages” command from the File menu.
Once everything is in working order within Windows Live Mail, you can use the Export function within Windows Live Mail to get all your messages into Outlook.
Note 1: Make sure you have the 32-bit version of Outlook installed. Exporting to the 64-bit version isn’t supported. When you do want to use the 64-bit version, you can remove the 32-bit version after the Export has completed and then install the 64-bit version. It will automatically pick up your settings from your 32-bit installation without any data loss.
Note 2: For a full step-by-step guide see: Migrate from Outlook Express or Windows (Live) Mail to Outlook
Outlook Express emails from Windows XP can be migrated to Outlook on Windows 7, Windows 8 or Windows 10 via Windows Live Mail.