These are the steps I take having on a new computer:  

1.  installed Outlook 365 and 2012 version of WLM downloaded from Microsoft on the same windows 10  computer.
2. I was able to import the WLM Email from another computer to the WLM on the new computer.
   
3. Opened Outlook.
4. Opened up  WLM and use File-> Export-> Messages… to export the messages to Outlook.
   
   • In the latest version of Windows Live Mail, choose:
     File-> Export email-> Email messages
5. When prompted to select the format you want to export email to, I choose: Microsoft Exchange
6. confirmed the information dialog about exporting to  Microsoft Exchange.
7. The problem is I never get a dialog box to Select which folder(s) you would like to export to Outlook.

Appreciate any assistance,

Ray Evans