No, not with the export feature....
However, doing a quick search:
If your old Windows Live ID is in the form of abc@uvw.xyz (thus _not_ a @hotmail or @msn account) you can change your Windows Live ID by going to
http://login.live.com/
Go there, login with your old ID.
On the account summery page (the one that opens up first) you can
click on the link next to your ID: "Change" to simply change to a new ID.
You don't need to do anything else; all your data, contacts, etc will automatically be moved to the new ID within 48 hours. But note that during that transiation time you can experience login problems in Windows Live Messenger and your contacts can experience problems seeing you online.