After you import messages from Outlook Express into Windows Live Mail, a folder will be created called "Imported Folder." When you click on it nothing appears to happen and a message will be displayed stating, "There are no items in this view." I had to do some looking on the Net, but I finally found the solution to this easy problem.
Just to the left of the "Imported Folder" you should see a little triangle (arrow). Click on the triangle and it should expand the folder to begin showing additional imported folders. Continue clicking on any triangles next to a folder. When you you get to a folder (e.g. Inbox) without any triangle next to it, click on it and the messages should display.
I can't think of the reason why Microsoft decided to make a different way to open folders in Windows Live Mail then from the way folders open in Hotmail, Outlook, or Windows itself, but at least I got it to work...