I also could not import messages into a new Windows Live Mail (running on Windows 7) from a Windows Live Mail running on another computer (Windows XP). I had both the 'empty folder' message and the apparently successful transfer but nothing turning up in the storage folders. The process just increased the number of storage folders in the receiving Live Mail with each 'transfer', all of them empty. Changing the files to be transferred by removing the 'read only' property did not solve the problem either. There is clearly a problem with this process which is not simply caused by people not doing it properly but equally it is obviously working for a lot of others.
When I looked at the folders I was using to import from, they contained all the email files I was wanting to transfer. In a last throw of the dice before giving up, I tried the old 'drag and drop' technique, and it worked. Moreover, instead of putting all my transferred emails into storage folders, separate from my active account, I inserted them directly into the active account folders. Everything was together as it should be. So the process was:
1. Export from old mail client (in my case, Live Mail) to folders as described by the tutorials. I used empty folders in My Documents, one each for the in box, sent mail and deleted messages.
2.Copy these folders to an external hard drive or memory stick (I found that the export did not work directly to folders created on the external drive for some reason).
3. Connect the external drive to the new computer and open this drive and then open the folder containing, for example, the in box messages.
4. Open your importing Live Mail then open the in box folder, as you would to read the emails in it.
5. Simply drag and drop. Repeat with each folder until all the messages have been transferred.