Don't know which directions you are following to a 'T' or if your WLM and Outlook are on the same pc.
It is the folders you either Export or Import and not the individual messages.
Try these instructions that cover different scenarios, and note that on one of scenarios it says: "Don’t use the Import function from within Outlook to migrate your mail. In many cases this will reset the “Received” time and date on a message. Instead, use the export function from with OE, WM or WLM."