To import messages:
Download the Import/Export tool for Thunderbird and install it.
then, in Tbird, click on Tools - ImportExport tools - import all eml file from a directory
The .eml files should be in folders under
C:\Users\(your account)\AppData\Local\Microsoft\Windows Live Mail
See this thread...
Getting your mail out of Windows live and into Thunderbird H • mozillaZine Forums
for contacts:
In Windows Live Mail, click on Home - Export - CSV
In Tbird, Tools - Import - address books - text file (.csv)