Thunderbird not importing properly

I'm assuming that you are trying to Import to Thunderbird from the same computer that the Outlook Express is installed on. If this is the case then you should only need to:
Click Tools --> Import
Select Mail
Click Next
Select Outlook Express
Click Next
Allow the Import process to do it's thing.

At which point the emails end up under your Local Folders directory, there is a folder called Outlook Express Mail which has sub-folders containing your Outlook Express messages.