After the horror years of using Microsoft Outlook -- and seeing the shenanigans that Apple is something capable of -- I decided that the best approach was to keep my email data in IMAP so that I could easily switch between any OS or email client.
I created a gmail IMAP account, and took ages to drag and drop my Outlook data into the IMAP account.
Then, in your case, you can open that IMAP account in Microsoft Outlook.
Of course you could then drag it into Outlook's folders that are resident on your PC only, but why not keep the data in IMAP? That way, if your circumstances every change, and you have to escape from Microsoft, you can flee at an instant, rather than being locked in again.
But the downside is that you'd be locked into Google's gmail - which is another story for another time.