Ok, now that I'm home, I can use pictures to show how it works.
1st picture: run the program, click on "File", then "Open", then you will see the "Open Wizard" window. Click on little yellow folder (circled in red).
2nd picture: once you've clicked on that yellow folder, the file browser will open (it may look differently than on my picture because I have Windows 7). Browse to your .dbx file - mine (inbox.dbx, which contains e-mails from inbox folder in OE) is located in my "Documents" folder, as you can see it on picture, yours is probably somewhere else. If you found it - click on it then click on "open" button. This will get you to next step, which is on 3rd picture.
3rd picture: when you'll see that screen, just click on "OK" button, that will open your .dbx file and will list all the e-mails (which you can read individually), which you can see on 4th picture. That's how it works
Another way is when you double-click on your .dbx file and Windows will ask which program do you want to open this file with - point the Windows to this program (to MailView.exe).