Can't import .wab

i'm trying to get my contacts list from outlook into outlook express and am having a hard time with it. i went out to microsofts website and they had a walk through to get me through it, but when i go to import from express, the command they gave me " go to file, highlight import, then select Other Address books" and then i'm suppost to see Microsoft Exchange Personal Address Book, but i dont. any clues as to why not? i tried to email microsoft, but they havnt gotten back. hope you guys can help me

matt