one of the easiest ways I've found to transfer email with OE is by just copying the identities folder to the new location. of course the location of identities changes depending on the version of windows you have. older vers are in /windows/application data whilst new ones are buried in /documents and settings/[username]/local settings/applicationdata/identities/
often you can load up your new windows, create an identity in OE then copy the contents of your old identities folder over the new one.
OE does come with export features for messages though I think this is only for transferring mail of OE to Outlook/Exchange on the same machine.