Wow - your hundredth post was about a Mac then your hundred and first was off-topic. ;)
Anyway - after anticipating having to jump through many hoops to bring my mail from Apple Mail to Windows Live Mail, downloading eml<>mbox software and nearly setting up OE on an old computer I figured out a quick and dirty way to do it.
I'd better add that I'm using Tiger 10.4/Windows7 x64 so not sure what other versions this applies to.
Apple Mail uses separate folders for storing local emails in, and stores each one as an emlx file.
To bring them into Windows Live Mail, copy them to your windows desktop, organise them however you like, then simply do a batch rename on them and change the suffix from .emlx to .eml
Then set up your folder structure however you like in Windows Live Mail and just drag the newly named .eml files into the message list of the folder you want them in.
That's it - well, it worked for me. I say it's quick and dirty as there seems to have been an encoding error on some messages, and the odd letter has become an equals sign, but I can live with that. All attachments appear to have been preserved.
I've just moved over 4500 emails (around 7GB) without a hitch!
Hope this helps!