You will have to do it manually, and with Windows live mail it is tedious depending on how many folders you have
You will have to create the folder in the new account in WLM, then cut/paste or move the emails from the old folder to the new one. Most. Other mail clients allow you to drag the folder into the new account but Microsoft cut corners with their free client
After WLM syncs you will be able to access them in webmail, and any other device where the email address is setup as IMAP