I had the same problem and submitted the following to Microsoft using their support form:
https://support.live.com/eform.aspx?productKey=wlmaildesktop&ct=eformts
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Problem I submitted:
"About one week ago I installed Windows Live Mail as instructed to do by email from Microsoft telling me that I will no longer be able to use Outlook Express to access Hotmail via HTTP after June 30, 2008. During the installation, my accounts and local folders were migrated to WLM. I just dictovered that the migration was not complete. Although all the local folders were recreated as storage folders and some of the content was migrated, not all of the content was migrated. I am missing hundreds of messages. In some folders I am missing everything from the past year, and in others even more, like back to 2006. How can I get ALL my stored messages from Outlook Express 6 into WLM? THANKS."
I received a reply from John G. on WLM tech support team. It did not help me because the same problem occurred again (when I ran the manual import process, not all of the messages are copied from Outlook Express 6 to WLM). In my case, in one particular forlder, it loses about 600 out of 4700 messages. Other folders have similar results although most of the others do not contain that many messages.
Here is what I received from John, in case it will help somebody else. I will update here if John replies again with a followup. I would appreciate if others would do the same as I am still seeking a solution. Thanks.
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Reply received from John:
Hello Marty,
Your message was forwarded to Windows Live Mail Technical Support. My name is John and I gather that you are having issues importing your e-mail messages from Outlook Express to Windows Live Mail. I understand how important it is to have your issue resolved immediately and I sincerely apologize for the inconvenience this may have caused you.
Marty, when you install Windows Live Mail, existing e-mail messages and contacts from Outlook Express are automatically imported into a new Windows Live Mail data store. Please be assured that you will continue to have copies of your contacts and e-mail messages on your hard drive since Windows Live Mail does not overwrite your Outlook Express program and content, but keeps your Outlook Express data store intact in case you want to use it again. This initial import process is designed to help you get your data into Windows Live Mail so you can easily transition quickly and smoothly.
Should you encounter any issues importing your e-mail messages and address book, please follow the steps that I have provided below:
A. Importing messages from Outlook Express 6 in to Windows Live Mail:
1. Open Windows Live Mail.
2. Click the "File" menu option.
3. Click "Import" and select "Messages."
4. Select "Microsoft Outlook Express 6" on the list of programs then click "Next>"
5. Browse for the location of your Outlook Express e-mail messages then click "Next>"
6. Click "All folders" or select the folders that you would like to import then click "Next>"
7. Click "Finish"
Note: Imported messages are usually being placed under "Storage folders." If you see an "Imported folder" under "Storage folders," please click on that folder to reveal all the folders that were imported from your Outlook Express.
B. Importing contacts / address book from Outlook Express 6 to Windows Live Mail:
1. Export contacts from Outlook Express:
a. In Outlook Express, click on "File" menu then select "Export" then click on "Address Book".
b. On the new box that will appear, click on "Text File (Comma Separated value)" then click on "Export" button.
c. Type the name of the file and click on the "Browse" button to select the location where the information will be stored then click on "Next" button. The preferred storage location is the "My Documents" folder or your "Desktop" for easy finding later.
d. Select the fields that you wish to export.
e. Click on "Finish".
2. Import contacts to Windows Live Mail:
a. Access your Windows Live Mail application.
b. Click on the "Contacts" button below the list of folders.
c. On the Windows Live Contacts window, click on the "Show Menu" button near the "Help" button or press "Alt" and "M" keys on your keyboard.
d. Click on the "Import" option from the list and select "Comma Separated Values (.CSV)" option.
e. On the CSV Import dialogue box, please click on the "Browse" button and locate the ".CSV" file that you have stored.
f. After locating the file, Click on "Open."
g. Click on "Next" and map the fields that you want to import by clicking on the "Checkboxes" on each field.
h. After doing this, click on the "Finish" button.
We appreciate your continued support as we strive to provide you with the highest quality service available. Thank you for using Windows Live Mail.
Sincerely,
John G.
Windows Live Mail Technical Support