I can only tell you how to do it on XP; it’s probably similar on Vista, but you’ll have to post back and say what OS you are running to get the right steps.
Meanwhile, read up about backing up the registry at http://support.microsoft.com/kb/322756/en-us before fiddling with it.
In XP, click Start > Run, type regedit and hit Enter. In the left-hand tree, use the little + and – boxes to find the key called HKEY_CURRENT_USER\Software\Microsoft\Windows Live Mail\Rules\Mail and highlight the word Mail. Right-click on it and select Export. Give it a useful name (like WLMailRules.reg) and save it on your desktop. Do the same with the next key down called News. Now copy these two files to the desktop of the other machine. Make sure WLMail is not running on the other machine. Double click on the first one. It will ask whether you are sure you want to add the info to the registry. Click Yes. Same again for the second file. Now start WLMail and see if the rules are there at Tools > Message rules >. If everything worked as it should, you can delete the .reg files or keep them as a backup. — Noel