I used mozilla thunderbird for nearly a year now as my Email client. But after the release of Windows Live Messenger, I used both concurrently and finally settled for Windows Live Messenger. I had stored nearly thousands of mails using Thunderbird and was bit worried on importing the mails from Thunderbird to Windows Live Messenger. Finally, I googled and found few solutions.
First I tried the following solution prescribed here. I downloaded Thunderbird add-on from http://nic-nac-project.de/~kaosmos/mboximport-en.html and installed the add-on in Thinderbird. Then upon first try I found that I had to export all the folders one by one manually to eml format. I was bit tensed as I thought that the other solutions too could be quite similar.
Then I tried another solution mentioned here. It also mentioned about a add-on in Thunderbird namely SmartSave which can be used to export mails retaining the folder structure. It worked quite well for me. Please follow the instructions which is mentioned in the above link.