|If your Windows Mail messages are on the same PC as Outlook, you should be able to import them into Outlook directly without having to export them from Windows Mail at all.|
In Outlook, when you choose "Import & Export", one of the next choices should include "Import from another program of file"
Click "Next" and you should see "Windows Mail" in the list.
If your are trying to do it with two different computers of course, you can't do it that way.
You will need to export from Windows Mail but Microsoft Exchange is the wrong choice.
Open Windows Mail and export as a "Personal Folder File (.pst)". Save it to a removable drive.
Open Outlook on the other PC and import the PST file you just saved.