Windows Live Mail export to Outlook 2007 problem

I'm trying to transfer some emails from one laptop using Windows Live Mail to another laptop using Outlook 2007. 

When Exporting the emails from WLM, if I select the format to export email to be "Microsoft Exchange" and click Next, there is a message showing "This will export messages from Windows Live Mail to Microsoft Outlook or Microsoft Exchange". When click OK, there is nothing happen. How shall I proceed?

Or is there other way to do the email transfer?

Thanks,