Hmm... I've been using OE for years. My oldest message goes back to July of 1998.
Ive never lost a thing, and Ive switched computers many times since I started using it. Even through the transitions, no sweat.
Last couple of years I've been using IMAP instead of POP.
IMAP is a bazillion(tm) times better than POP. Now its almost impossible for me to lose any mail.
Been using Mdaemon as my mail server running on a Win2k server.

One thing about OE is that it can hide your mail and databases and stuff in places where you dont think they might be.
Lately since Win2k the likely place to try and import mail and settings from is from somewhere around here: C:\Documents and Settings\user name\Application Data\microsoft\identities\etc. etc.
Take a look around that area for your mail. Usually in a folder labeled outlook express or summat with a huge long name that looks like garbage. Youll need to stop hiding hidden folders though.
Good luck.

Z~