This is quite a complex operation and MS doesn't actually explain how to do it so here goes.
The trick is to get your email messages into Outlook Express (OE on XP) or Windows Mail (on Vista) before you can import into Windows Live mail. Then the import can be done directly.
There isn't any way currently to import mail directly from Outlook to Windows Live Mail so you have to do it indirectly BEFORE installing Windows 7.
1) even if you don't use Outlook Express (XP) or Windows Mail (VISTA) you need to have them running on the same machine as your copy of OUTLOOK.
2) create (if you haven't already) email accounts in OE or Windows mail identical to those you have in Outlook.
3) Now import your messages from Outlook into OE or Windows Mail.
4) Change the Store Identity in OE or Windows mail to a disk that your Windows 7 can read (do this under Maintenance - data storage locations in OE or Windows Mail).
Doing this saves you having to install Live Mail on Vista or XP
5) Logon to your Windows 7 system and install Windows Live mail.
6) Set up your email accounts
7) File ==> import==>messages
8) Chose Outlook express or Windows mail depending on step 3)
9) Browse to the directory where you stored the messages in step 4)
10) Job done.
A bit fiddly but obviously MS don't want to make it easy for people to switch from Outlook
Note also the "Send and Receive" function is calles "SYNC" in Windows Live mail -- confusing but there it is.
If you also installed Windows Messenger you can prevent it from starting automatically at startup by going to the Orb ==>acessories==>run. type msconfig and unclick windows messenger in the start up box.
There doesn't appear to be ANY method of importing mail directly from Outlook 2003/2007