Where does thunderbird store message filters and how can I import them?

The message filters are in this file: msgFilterRules.dat Just copy it into the new profile. You will probably have to make some adjustments to get them to work properly.

In addition to what George said...

I am not sure what the file path would be in windows, but when you copy it over to Ubuntu, it will go here:

<uname>@<hostname>:~$ sudo find / -iname "msgFilterRules.dat"
/home/<uname>/.thunderbird/<random-chars>.default/Mail/Local Folders/msgFilterRules.dat
/home/<uname>/.thunderbird/<random-chars>.default/ImapMail/mail.<domain>.<tld>/msgFilterRules.dat 

Hope this additional information helps others.

Took me a while to find it on windows so this might help someone:

C:\Users\<username>\AppData\Roaming\Thunderbird\Profiles\<profilename>.default\ImapMail

<profilename> is usually random gibberish.