Use 
MailtoX Desktop to export Windows Live Mail email messages into Thunderbird

Steps

1. Open the ”
Quick Extract” dialog

2. Select  
Windows Live Mail from the Email Source list at the left

3. Enter the root folder where WLM stores its messages, press on “Load Folders”  to display WLM folder structure and then select the folders that you want to export from Windows Live Mail

3. Select 
Thunderbird from the Email Targets list at the right

4. Select the
target folder in Thunderbird where WLM emails are going to be copied. The target folder *must be* a subfolder of Local Folders.

To recreate the folders structure in Thunderbird select the “Like Email Source Folders” option.

5. Press on  OK to close the dialog and accept the settings.

6. Press on ”
Execute Job” to start the exporting process. The selected folders will be processed and the emails will be copied to Thunderbird.

7. Once you
restart Thunderbird, it will index the newly created folder(s) and emails.