I mailed the same query to MSN Explorer support.
Their first answer repeated the information I had from the link above. Here is their more considered second reply.
"Regarding your concern, i have just checked the updates about Outlook Explorer
and MSN Explorer. My sincerest apologies about this matter. There has been some
recent changes made, import of address book from Outlook Express to MSN Explorer
is currently unavailable. This feature is only available to paid account for MSN