You've posted an OE question. You must merge them in OE before you can
import them into Outlook.
This is a group to support Outlook from the Office group of programs.
Outlook Express is a part of Internet Explorer and is a quite different
program despite its similar name..

You will probably get a faster and more expert answer if you post this to an
outlook express news group.

Try posting in one of these newsgroups:
microsoft.public.windows.inetexplorer.ie5.outlookexpress for OE 5.x
microsoft.public.windows.inetexplorer.ie55.outlookexpress for OE 5.5x
microsoft.public.windows.inetexplorer.ie6_outlookexpress for OE 6.x

A good website for information on OE is:
http://www.tomsterdam.com/