exporting Windows Live mail to outlook 2010

I have 2 64 bit machines
On my XP machine im trying to export WLM then importing to Outlook 2010 on my windows 7 machine

First off when exporting on XP machine:

1. Open Windows Live Mail.
2. In the Windows Live Mail window, click the File button and select “Export” and then select “Email messages”.
3. Select “Microsoft Exchange” as the format and then click Next.
4. You will see a message that all email will be exported to Microsoft Outlook or Microsoft Exchange, click Ok to continue.
5. You can export all email folders or select the appropriate folders that you want to export by using the “Select folders” option.
6. After you select the appropriate option, click OK and wait for the export process to be completed.
7. When the “Export Complete” dialog box appears, click “Finish”.

Now..... Where does it export these too??? I cant find it anywhere...and it doesnt give me an option to choose...