Previously included programs like Photo Gallery, Mail, Movie Maker and Messenger are not present in Windows 7, they have to be downloaded separately. The one you need to download is Windows Live Mail (WLM). Go click here to download Live Setup and then download WLM.
Here is the whole transfer procedure from OE to WLM:
Go to File > Export > Address Book and select Comma Separated Values (CSV) > Export, select the fields you want or, for more safety, select all the fields and save the file to the Desktop.
Go to the Windows Orb (Start), type shell:contacts and press Enter to display the Contacts folder. Click Import > CSV > Import and browse to the file on the Desktop.
Go to Tools > Accounts > Mail Tab and select the first one you want to export. Click on it and then press Export. Save the file to the Desktop. Repeat this procedure for any other e-mail accounts you want to export.
Go to Tools (press Alt if the Toolbar is not showing) > Accounts > Import > Browse to the file on the Desktop.
Create folders on the Desktop and name them OEInbox and OESent. Open Outlook Express, go to the Inbox, click on a message line, then press Ctrl+A to Select All and drag the highlighted items into OEInbox. Repeat it for Sent Items and any other mail boxes that you have.
Open WLM, display the Inbox and open the OEInbox folder on the Desktop, Select All (Ctrl+A) the items from the OEInbox folder and drag them to the WLM Inbox. Repeat this for any other mail boxes.