I have now changed my blog software from BlogEngine.NET to Wordpress. It was not very complicated to export my blog posts from BlogEngine.NET to Wordpress, however it did take some time to import everything to Wordpress. Here are the steps I had to do.
I used these two blog posts as inspiration (this by Merill and this by Paul).
Wordpress was installed and configured using Microsoft Web Platform, which makes installing PHP, MySql etc. very easy.
Step 1
From BlogEngine.NET. Export content to BlogML.
Step 2
Copy the files from “\App_Data\files” to “\wp-content\uploads”.
Step 3
Open the BlogML xml file in Visual Studio, Notepad or some other text editing program.
Step 4
Search the BlogML xml file for “.axd” then you will see that BlogEngine.NET uses some different axd files to reference images and other files. I searched for and replaced the following:
- “/image.axd?picture=” → “/wp-content/uploads/archive/”
- “/file.axd?file=” → “/wp-content/uploads/archive/”
Step 5
Download “PhpXPath-3.5” and put the file (XPath.class.php) in your “/wp-admin/” folder.
Step 6
Edit “/wp-admin/admin.php” and look for the line:
require_once(ABSPATH . 'wp-admin/includes/admin.php');
Add a line below it, so it looks like this:
require_once(ABSPATH . 'wp-admin/includes/admin.php');
require_once('XPath.class.php');
Step 7
Download the BlogML import to Wordpress tool, and upload the file (blogml.php) to your “/wp-admin/import” folder.
Step 8
Open your Wordpress Site Admin interface and go to Tools -> Import. You should now see a BlogML import link, click it, upload the BlogML file and you should be ready to go. At Least I was 
