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I should tell you that transferring email from one program to another is often problematic. The import/export capabilities haven't really improved much over the years.
Try to import as few folders as possible. Be prepared to have to re-do your address book manually.
The import function in Thunderbird is on the Tools menu.
I imported from Windows Live rather than OE, so all I can tell you is to give it a try.
Be further prepared to have to make some email folders to your own liking after you install Thunderbird.
Mozilla has a Thunderbird help forum that is quite good.
Here is a pic of my Thunderbird screen to give you an idea: