If you want all the emails from multiple folders belonging to one of the old identities to go into a single folder, I'd recommend moving the emails before you import. I think the easiest way you're going to find to set this up is:
For each existing identity that you want to move:
1. Create or rename folders in that identity that have the name you want in the final identity. So if one identity is Home and another Work, inside Home you would create a folder named Home, etc. If you want more than one folder for an identity, create it now.
2. Copy all the emails that you want to keep into these new folders.
Open up Outlook Express using the identity you want to keep:
1. Choose File/Import/Messages
2. Select program: Microsoft Outlook Express 6. Click Next.
3. Specify location: Import mail from an OE6 identity; choose one of your old identities. Click Next.
4. OE will display the store directory. Click Next.
5. Select folders: Click on the Selected folders radio button, then choose the folder(s) that you created for each identity that have the messages you want. Click Next. The folder will be imported to your main identity.
6. Repeat for each old identity.