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Read More:- Export Windows Live Mail to Outlook

Go to your Windows Live Mail account and click File option in the menu bar. Choose Export Email option, then select Email Messages. Select the first option 'Microsoft Exchange', then click Next. A message will show that it will export the Windows Live Mail to Microsoft Outlook and Microsoft Exchange.
Launch the Windows Live Mail email client and click on File > Export email > Email messages.
Choose the Microsoft Exchange option and hit Next.
Next, you will see the following Export message, hit OK to proceed.
Choose Outlook from the Profile Name drop-down menu and hit OK.
Regards,
Rachel Gomez