I don't use Outlook but, when I've transferred my Outlook Express files from one PC to another I've always simply copied the dbx files (which are the equivalent of Outlook's pst files) from one PC to the other.
To do so, I've simply run a search (on the 'old' PC) for *.dbx and copied all the files to external media. (I use CDs but a memory stick would be just as good). Then I've run a similar search on the 'new' PC and right-clicked on any file, selecting 'Open containing folder'. I've just 'dragged and dropped' the files from the CD into that folder (and clicked 'Yes' when asked if I want to over-write the existing files).
The only advantage (that I can think of) with using the 'export' feature is that it adds old files to the new PC's folders, rather than overwriting the existing folders. If you've not used Outlook Express (or Outlook) before transferring the old files it makes no difference either way but, if you'd already got some mail in your Inbox (and/or other folders), on the new PC, before doing the transfer, you'll lose all of the new mail.
Chris