There is no fix and for some reason not many requests for one.
Outlook and Outlook Express have nothing in common. Apparently not many
users of OE make a lot of use of groups. There is no counterpart for OE's
groups in Outlook. Outlook uses Distribution Lists which are stored in the
PST file.
What's even odder is that even if you use Distribution Lists in Outlook and
try to import your data to another installation of Outlook, those are lost
as well. Apparently, maintaining DL's is not a high priority at Microsoft. I
can see why. Few people use them because they are so bad.

Here's a possible solution to your problem. It worked for me, and might for
you.

I had asked about this some time ago after an Import in Outlook had failed
to copy the addresses that wwere inside folders in the OE Address Book.
Well, the solution was quite simple in the end. I offer it for the next
person who needs to do this. :-)

1) Create matching folders inOutlook -- if you want to -- I actually used
the "Category" field instead of folders in Outlook so as to reduce clutter.
2) Create a "temp" folder in Outlook's Contacts and drag all the current
Contacts into it.
3) Create a "temp" folder in OE and drag all the current addresses _not in
folders_ into it.
4) In OE: enter a folder and drag and drop all the addresses into the
main/root address folder
5) In Outlook: Import from the OE Address Book.
6) The imported addresses will be in Contacts. Move them from there to the
new folder (or change the Category).
7) In OE: Move the addresses back into the folder, move a new set from
another folder.
8) Go to 5), above for each folder of addresses.
9) Finally, move the addresses in "temp" in OE and Outlook, back the their
respective locations.

All done. :-)