I've just been doing that with my old emails from my XP pc. (XP with Outlook Express and new W7 pc using Thunderbird)
On XP pc I created a folder structure in My Documents (with the same names of the folders in Outlook Express) and then I had two windows open on Desktop, one Windows Explorer and one Outlook Express.
I opened a folder in Outlook Express, and bulk selected all the emails in that folder (Ctrl + A) then dragged and dropped them into the same named subfolder of new Folder named 'BackupCopyEmail' I had already created in My Documents.
Did the same for all the emails in the other folders.
This saves each of the emails as an .eml file extension.
I can now open any individual .eml independently in any email client - without importing them (rightclick, open with - if no default email client)
I have now copied Folder 'BackupCopyEmail' containing all the new created folders with the .eml files in, to my external HDD.