To migrate a mailbox from Courier to Thunderbird (on Windows XP) you need Courier installed, Thunderbird and a program called Courex (get the latest copy here Courex). You can migrate emails, folders, attachments and the address book. All mailing lists will get lost.
Courier email box (if in standard location): C:\Program Files\Courier Email\Mailbox
Thunderbird : C:\Documents and Settings\....(1)\Application Data\Thunderbird
The Locales folder: C:\Documents and Settings\....(1)\Application Data\Thunderbird\Profiles\qvu1n3nv.default(2)\Mail\Local Folders\
After the migration find a folder called Courex in C:\Program Files\Courier Email\Mailbox which contains the address box, the mailbox data (all settings inclusive passwords!) and log files.
After the migration find a folder called Courex in C:\Documents and Settings\....(1)\Application Data\Thunderbird\Profiles\qvu1n3nv.default(2)\Mail\Local Folders\ . In this folder all main and sub-folders, emails and attachments are stored.
#(1) here is the name of your user
# (2) this entry is similar but never the same