Hey guys,
http://www.windowslivemailconverter.com/mac/
you should try Windows Live to Mac mail converter. I just tried for my dad pc. he wan unable to convert windows live mail to my new Mac OS X 10 then i found this in google. it will help you to convert live mail to .mbox format you can import mbox file in mac mail.
If you have messages stored in another e-mail application, and that application can save the group of messages as an MBOX
A file type used to hold a collection of e-mail messages. MBOX files can be used both on Macintosh and Windows-based computers. file, you can import that set of messages into Entourage. An MBOX file has an .mbox extension.
1.On the File menu, click Import.
2.Click Contacts or messages from a text file, and then click the right arrow.
3.Click Import messages from an MBOX-format text file, and then click the right arrow.