Microsoft detail the differences between Outlook and Outlook express on this page : http://office.microsoft.com/en-us/outlook/HA011169051033.aspx
If you are currently using Outlook Express, when you install Outlook, it will automatically absorb all the settings and emails from OE for you.
Unfortunately I have never done it the other way round, but i would expect that you can use the export tool from within Outlook in some way. Not sure why you would want to go from Outlook to OE though!
Hope this helps
Note : Main difference is outlook support MAPI profile which outlook expersee dosent.
With MAPI profile we can connect exchagen server and access mail box directly from server with Access Global Address list and all othere Manual Address lists.