Assuming OE6:
If you place the DBX etc. files in a single folder somewhere on the XP machine you need to then Open OE - go to import, select OE as the program to import from, select messages, then tick "import mail from an OE store directory" - click next and navigate to the directory you have stored the files in and carry on from there.
Once the import process has completed you will need to exit and re-open OE.
That's how I usually do it anyway..
amofw