When I use Thunderbird to import my address book, it does not ask where
to look to import the file. Is there some special place I need to put
my outlook express file for the thunderbird software to find it?

In the faq of webmail ( http://webmail.mozdev.org/faq.html ) they have
the question of how to install these extensions but you say "In
Mozilla Thunderbird, open the extension manager (Tools Menu/
Extensions)". But I do not see any such place in the tools menu.

TB probably looks in the default location for the wab file associated with your identity, It should work with no intervention.
For extensions, look under Tools/Add ons.

Update:

Here is the situation. I am setting up a new computer that does not have Outlook Express or any other previous email software. I am trying to move the settings and the email accounts and data from another computer.

I just managed to do one thing that will help. On the older computer, I just downloaded and installed Thunderbird and I loaded all the old email and settings into that copy of Thunderbird. So the question now is this. How do I move this information from the older computer to the new computer? What data files do I look for for moving from the older computer? I looked for an export option and I did not find one.

(The Extensions problem will be looked into after I fix this issue)