I just tried it. I copied a message from an OE folder to the desktop. Never done so before, but it worked. A mail copied like this has a .eml extension (that's the code, the description is unimportant). It is NOT .dbx, nor should it, because .dbx is the file that contains all those individual mails (like inbox.dbx).
I could open such .eml file in an OE window by simply double clicking on it. And I could even drag it back to OE (to my surprise).

It's not clear what's wrong with you (if anything is wrong), because
- you don't mention file extensions
- you don't tell us the file association for opening of the file extensions .eml and .dbx
- you mistakenly say the message in OE are in dbx format
- you want to do something impossible (converting a mail to a mailbox)

As long as you don't tell all the details about the error box you get, nobody will be able to help you with that.