Which version of OE are you using? You should be able to import the address book by opening OE, opening the address book and importing it from outlook. Except in OE6 its different. You have to check share data with other applications.
Or open outlook, file and there is an import/export option. I think you can export them to OE there.
I reinstalled XP and at first I couldn't even find the address book. I finally got it into Outlook 2000 and set OE for sharing data, and used the export in Outlook and finally it worked.
The older versions of Outlook Express have an import data option I think - I can't remember for sure.
Hope this helps.