So far, there hasn't been a 100% perfect method to migrate from BlogEngine .NET or any .NET blogging platform for that matter to Wordpress easily. The method below has been tested on Wordpress 2.7.1 running under IIS 7.0 and MySQL 5.1.33.
The best method so far is to export posts and comments using blogML . You can download the plugin for Wordpress to import your blogML.xml file into Wordpress from this blog entry about migrating from dasBlog. However, you will notice that you will still need to manually rename the categories and link your old blog posts' URLs to the new Wordpress ones. A CSV file is created during importing to help you do this. But one of the bigger problems is that tags are not exported by the tool.So if you have a lot of existing posts. Good luck on retagging each one of them.
If you're running Wordpress under IIS, don't forget to give full permission to the user NETWORK SERVICE for the directories "wp-content\uploads" and "wp-admin\import" before starting the import process.