Here is some information that I found on the web.

If you only have one identity in Outlook Express, you should not have any problems importing your mail, address book, and other settings into Thunderbird.

However, if you have more than one identity (home, work, school, etcetera), Thunderbird will only import the information from the identity set as default in Outlook Express.

To import the information from other identities, select File > Identities > Manage Identities in Outook Express and change your default identity to another one which you wish to import. Close and restart Outlook Express for the setting to take effect, then close Outlook Express completely.

Run Mozilla Thunderbird's import function (Tools > Import > etcetera) and verify that the information is imported properly.

Repeat the process for each identity in Outlook Express.