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If you are switching from Windows Mail, you can import your email messages into Windows Live Mail. When you start Windows Live Mail for the first time on a system running Windows Mail, Windows Live Mail automatically imports your messages and account settings before opening the WLM dialog. To import messages and contacts manually, open the Main menu and click Import, Messages.
Next, select the program to import from and click Next. You can import messages from Microsoft Outlook Express 6, Windows Mail, or Windows Live Mail. In most cases, WLM automatically locates your messages and imports them for you.