Yes, you can directly convert the Windows Live Mail to Outlook PST without using Outlook. I would like to suggest the Third-party software eSoftTools Windows Live Mail Converter. This software securely converts WLM to Outlook PST and multiple file formats such as pst, etc. The application permits the user to instantly import Windows Live Mail to Outlook PST, MSG, EMLX, MBOX, MHTML and, HTML, etc. It can operate with all versions of MS Outlook and Windows editions up to 10.