Vista - Can't export to outlook

I dislike intensely the way winmail includes attachments in the message body.
Outlook was much better in that attachments only showed as attachments as they are intended to do.
Having given up on trying to make winmail do what I want it to I decided to revert to outlook.
I was able to export contacts from winmail to outlook but the facility to export messages does not work.
I select export - messages - microsoft exchange - all folders
The program appears to be doing this and ends with the message "eported in windows mail format", despite selecting microsoft exchange.
The problem is the messages do not appear in outlook. WHERE ARE THEY GOING?
Keith