Outlook Express will let you EXPORT to Outlook. A word of caution here, though, as Outlook Express 6 will export to an Outlook PST file that is the old format, meaning the PST file will have a maximum size of 2GB. Your Outlook Express data may exceed 2GB, so you should check that before starting the export process.
Another way to do this would be to temporarily install Outlook 2007 on your XP computer as a Trial install (do not enter a license key). During the installation, Outlook will create a PST file that uses the new format that supports a maximum file size that is over 25GB. When you start Outlook the first time you will be asked if you want to import your Outlook Express e-mail. Say yes to that and all of your messages and contacts will come in. Once that import process finishes, close Outlook and copy the PST file to your Windows 7 computer using a flash drive, CD, or just copying through the network.
If you have not used Outlook before, the default location on XP for your PST file is c:\documents and settings{your user name}\local settings\application data\microsoft\outlook and it will be named outlook.pst.
On your Windows 7 PC, if you have already started Outlook the first time and entered your e-mail address settings, then you already have an outlook.pst file created and just need to copy the outlook.pst file from your XP computer over top of the one on your Windows 7 computer so that you replace it. By default, Outlook will create the file in c:\users{your user name}\appdata\local\microsoft\outlook. Do NOT try to import the PST file, as this process has bugs and will likely corrupt your file. Start Outlook 2007 on the Windows 7 PC and you should see all of your e-mails and contacts.