I've been converting my thunderbird email boxes to Windows Mail on Vista. To do this you need to use a tool that convert the mbox format to .eml format. I found this free one that seems to work pretty well: http://www.broobles.com/imapsize/th2outlook.php
Just follow the instructions in #3 "Convert mbox files to eml files" and then drag the .eml files into the apropriate folder in Windows Mail.