The latest version of Windows Live Messenger and Windows Live Mail are tightly integrated.
If you just log into your Windows Live Mail,
click the box for 'All'
then select the command 'Manage' and subcommand 'Export'
at that time you enter the special verification (a screwed up) word.
and then click the [Export] button.
That will put a CSV file on your computer (you decide where you want it placed).
The CSV file, a plain common spreadsheet format, can be used in other places, even to get the entries back into Windows Live Messenger, if you need to.
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