Thunderbird and Evolution do not currently have an export feature to make the transition easy. Instead, it takes a few steps and a third party application to convert your email into something that Outlook Express (and eventually Outlook) can read.
Both Thunderbird and Evolution hold email in mbox files.
Thunderbird files can be found at
~/.thunderbird/xxxxxxxx.default/ (where xxxxxxxx is a random string of numbers)
Evolution files can be found at
For each folder that you have in Thunderbird or Evolution, there are two corresponding files in the default directory. One file will simply have the folder name with no extension, and the second will have a .msf extension. For example, Inbox will be split into the INBOX and INBOX.msf. The mail files are in mbox form in the file with no extension. This is the file you want to back up for conversion.
Once you move your files to Windows, there are two third-party applications that will perform the conversion from mbox to .eml.
IMAPsize is a graphical application that is meant for managing IMAP mail accounts. For our purposes, we will only be using one portion of the software, the mbox2eml conversion. Open the mbox2eml option and select "all files" to find your backup mbox files, choose the location for your new files, and then click convert.
mbx2eml is a nongraphical Windows application that performs the same conversion as the IMAPsize conversion tool without any added functionality. If you are relatively comfortable using a command line in Windows, it works very well. At the Windows command prompt type
mbx2eml <file specification> <output directory>
where <file specification> is the directory holding the mbox files and <output directory> is where you want the .eml files to be held.
Once you have converted your email, you can use Outlook Express to open it. Open OE and then drag and drop your .eml files into the application. If you are going to be using OE, then you are done. If you are going to be using Outlook, you have to export your mail. From the file menu, select Export. Your email will finally be in a format that Outlook will understand.