Outlook Express uses the WAB (Windows Address Book)
Try this:
It is possible to drag individual or groups of WAB entries
to Outlook. To do this:
On the Start menu, point to Find, and then click Files And
Folders.
In the Open box type, .wab, and then click OK.
Double-click the WAB file from which you want to move
addresses.
Start Outlook if it is not already running.
Resize Outlook so that the WAB and Outlook are visible
next to each other on the screen. Verify that the Outlook
Contacts folder is visible in the resized Outlook window.
Select an entry from the WAB. Drag it to the Contacts
folder. A new Outlook Contact form is created with the
information from the WAB entry. Click Save and close.
NOTE: Press SHIFT and select contiguous groups of entries
or press CTRL and select non-contiguous entries. You may
want to do this for selected contacts or small groups.

File > Import and Export is the correct method.
Why can you not use it?