Moreover, HOL-Light has been designed by theit's author John Harrison to exhibit relative self-consistency proofs, just like in set theory. You may read about them here: http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.97.2210&rep=rep1&type=pdf
(Here he Here Harrison shows HOL-Light-$-$Infinity has a model in HOL-Light, and HOL-Light has a model in HOL-Light+Grothendiek Cardinal).
They all require training to learn. However, for LCF style systems like Coq, Isabelle, and HOL-Light, its like programming languages -: once you learn one, you've learned the principles necessary to understand all of them.
Isabelle, and Mizar have special facilities for making proofs more "human". The system for Isabelle is called "Isar"Isar. These systems aren't for dummies, sadly --sadly; one really needs a bit of special training to master these systemsthem. On the other hand, they are much better than the "apply-style" proofs that are commonly employed, since they conform much better to human intuition. There's a systems for Coq called CaesarCaesar that in its infancy, but I expect it mightwill ultimately make Coq bettermuch easier to use.
In the case of systems that express higher order logic, I assume you are aware that all complete ordered field are isomorphic to one another? Isabelle/HOL happens to construct them using Cauchy-Sequences sequences, and has in its library an equivalentthere is another formulation using Dedekind Cuts. HOL-Light formulates the positive reals using the limiting slopes of functions $f:\mathbb{N}\to\mathbb{N}$ and then constructs the full reals using a semi-ring completion. Algebraically, Since algebraically all of these formulations equivalentare isomorphic, so in practice how the realsdetails of them are constructed does not matterhidden from the users.
The short answer is complicatedYES, the long answer is YES, but it's complicated. Not all deductive systems have the same expressive power. Sets in ZFC are a special kind of object that one cannot construct in Higher Order Logic. To formulate set theory in Isabelle/HOL and HOL-Light use, one needs to postulate that a kind of object that makes true the axioms of Zermelo Fraenkel set theory exists (this is the route that Isabelle/HOLZF takes). On the other hand, one may embed HOL into ZFC without such difficulty - here is a paper where a translation system for Isabelle/HOL into ZFC is given using the theorem prover LF:
http://kwarc.info/frabe/Research/RI_isabelle_10.pdf
Chantal Keller has imported HOL-Light into Coq for ain her MSc thesis here: http://perso.ens-lyon.fr/chantal.keller/Documents-recherche/Stage09/itp10.pdf, but again the reverse
Importing back from Coq is difficult. Coq has a much more expressive type system than HOL.
One cannot convert Mizar proofs to any other system because it is closed source, and does not based on an LCF system like thehave a small kernel one can use to produce proof code readable by other proversengines :(