One lowbrow method of saving your emails is
1) start Outlook Express and go to the Inbox or wherever.
2) Reduce the Outlook Express window to a partial window, and make a folder on your desktop.
3) In Outlook Express, select all your emails (click the top one on the stack, then scroll down to the bottom and click the last one while holding the Shift key). Now drag-&-drop them to the folder on your desktop.
4) save the folder onto a __________ (USB drive, extra HDD, DVD or whatever)
5) open the _________ in Windows Vista, then drag-&-drop the emails into the appropriate folders in Windows Mail.