I was asked this question at the Business Meeting yesterday – as as always seems to be the case simply 'Googling' the question brings up the answer – at least in parts.
Here is how to import an AOL Address Book into Outlook Express and the final stage is similar in the full version of MS Outlook.
Check this link: http://www.broadband-to-go.com/help/aol-address-book.htm#csv-file
Please let us know how you get on?