It's so easy and simple, believe me. Windows Live Mail program provides you an Export feature by using which you can export email messages to MS Outlook client. There would be no need to use any paid software for this or spend any cost.
Launch Windows Live Mail program on your system.
Click Menu button on top of the task bar. Click Export email>Email messages in the options.
Select Microsoft Exchange option as the format you want to export email to.
Select All folders or Selected folders option and click OK.
Once the export process will be completed, click Finish.
I hope the shared information would be helpful here.