You are right, Microsoft discontinued Windows 7 OS support. So, it is the end of the Windows Live Mail application. There are multiple options available to import Windows 7 Mails to Outlook. But, only a few of them are trusted. You can use software to export Windows 7 Live Mail data into Outlook supported PST format.
As you have mentioned, you have a backup stored in Pen drive. So, first of all, copy the complete folder to your Windows 10 system.
After that follow the steps:
1. Launch the Windows 7 Mail to Outlook PST converter
2. Select the radio button Browse for the Storage Location
3. Navigate and browse the Windows 7 mails folder.
4. After this perform the steps explained above.