Each Outlook Express 'folder' is really a single file (with the dbx file extension). When Outlook Express opens the file it separate the contents into different emails. However unlike (say) Word, which can access files from any location, OE can only open DBX files from the relevant place within its own folders. (So saving a DBX file to disk, and then double-clicking on it, won't work).
If you want to transfer FunnyEmail.dbx to Outlook Express on another PC, first locate the file and burn it to CD. Then create an empty folder, with the same name, in Outlook Express on the second PC. Close Outlook Express and search for that file. Right-click on the file and select 'open containing folder'. Then drag the 'old' file into that folder, accepting the option to over-write the existing file.
Chris