I am encountering the same issue, but I don't think the moderator understood.  I am trying to export messages from Windows Live Mail in order to import them into Outlook on a PC.  They are not going to an Exchange server.  I select the WLM Export function, then the Microsoft Exchange format.  WLM confirms that this will export the selected messages to "Microsoft Outlook or Microsoft Exchange".  I confirm that, and WLM goes off and does something and reports success.  The problem is that it never tells me WHERE it puts the exported messages.  I looked in the Outlook Files in My Documents, not there.  It doesn't appear to be anywhere in the WLM area of the AppData directory.  And it doesn't even tell me the file type so that I can do a search.  Is it a .PST file?  I need to know where it is so I can point Outlook to it to import it.