If you have nws files, then you can create a folder in WinMail and drag the
nws files from Explorer and drop them on the WinMail folder to incorporate
them, just as with eml files.
If you just have the dbx files, then you can try importing using the method
described here: www.oehelp.com/backup.aspx#oe2wm but I don't think it will
do the newsgroups. Otherwise you can use an dbx extraction program to
extract the messages from the dbx files and then drag them into WinMail.