I used the export function from an old blog running WP 2.6.
I then imported it to a new blog running 3.01, using "WordPress Importer".
The posts (minus the photos) and the comments were imported. When I go in the admin to modify an article, I see the comments with the author's name, email, IP, date and time. But when I visit the articles outside of the admin, the comments don't appear. Also when I go in the Comments admin section, it says there are 42 comments (exactly the same amount as in my old blog) and I can browse 3 pages.. but the comments don't show up there either. So those 3 pages are just empty. But, as I said, they do show up in the edit page of each article, so they have been imported.
New comments show up as they normally should.
Is there anything I can do so that the old comments that were imported actually show up when visitors see the pages?