Depending on what you're going to import them to, the files that contain all the messages and folders in Outlook Express are in:
c:\docs and Settings\"user name"\local settings\App. Data\Identities\"{long hex. string}"\Microsoft\Outlook Express.
Those files can be imported into other mail apps. To be imported back into another install of OE, the destination PC has to have the same or higher SP/patch level on it's OE.
I tried doing the export on my PC, and it would seem you're getting the message because it doesn't detect Outlook or Exchange (MAPI clients), as you can only export to another MS email product thats already installed.
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