Yes, Sure.
Follow below steps:
1. First of all, install Windows Live Mail (WLM) in your system.
2. Click on File >> Import Messages.
3. A Dialogue box of Import Messages, select Microsoft Outlook Express and then click on Next.
4. Now, Select All Folders >> Next.
5. All the emails from OE will import into Windows Live Mail.
6. Again, follow Step and click on Export email. Then. click on the email messages to export.
7. A program of Export Mail setup will appear. Select Microsoft Exchange from the menu and click on Next.
8. After the confirmation message, click OK.
9. Now, select All Folder and click on Finish button. All the emails are now exported in the selected location.
Using Export-Import option in WLM, you can convert DBX file to PST file easily.