When you have the software, downloaded & install it in your machine, then you can launch it from Start » Programs » OE Converter » OE Converter
Now choose "Default Outlook Express folder", if you want the software to locate & select DBX files from store folder location of OE (it must if install in the machine). For manual selection or if you do not have Outlook Express install then go for "Choose DBX files located in a folder".
After selection, click on "NEXT"
If you choose the first option then the files would be selected automatically by the software. If you choose the seconds option, then click on Select button to locate & select DBX files
Now you can skip the deleted items folder migration, simple by checking on this option.
Next, to save DBX files you can choose the "Single Outlook (.pst) file for all (.dbx) files" or "Separate Outlook (.pst) file for each (.dbx) file"
Finally Click on "Convert Messages", choose a location to save the converted files & the process will began.
When it’s done, you get this message
Now you can import & view converted PST in MS Outlook.