I don't use Outlook, but I'd think the general procedure would be to:
1: Export from Outlook Express to location X
2: Open Outlook, use the import function, and navigate to location X.
Is that what you are doing?
Can you export in more than 1 format? If so, try another format.
It's also a good idea to make manual copies of all of your Outlook Express files (dbx, etc) in case your corrupt the originals during the export/import process.
Email export and import functions haven't improved in the last 10 years, so welcome to reality. I hate changing email programs for that reason.
There are applications out there designed to convert DBX to PST, but I don't know if they are required.