The clue is at the beginning of the process, where the Outlook Express programmers tell the user "This will export messages for Outlook and Exchange."
As the export progresses, navigate to your
Local Settings\Application Data folder, and locate Microsoft\Outlook. Inside that folder there is a file named <profilename>.pst. That is the output!
For Win7 Virtual Machine XP mode, look in
Local Disk (C:)\Document and Settings\XPMUser\Local Settings\Application Data\Microsoft\Outlook\Outlook1.PST
You can see the emails come in if you have Outlook 2007 open at the same time as Exporting, and you have set that file as the default Data File under Outlook menu: Tools, Acct Settings, Data Files, Settings. Outlook.PST in
After the export completes, a Copy dialog may appear, revealing that the results are being copied to My Documents. If the amount to be copied is small, the Copy dialog may vanish unnoticed; it did in my case.
The final resting place for the Export is thus My Documents/<profilename>.pst.