I have just recently done this.
The steps I took were import the mail from Outlook to Outlook Express.
Then there's a tool called dbxconv that I ran from a dos box in the folder that had my outlook express mailboxes.
Once those files are converted, I copied them to Mac in a temp folder and did a mass rename from mbx to mbox.
Then just imported them into Mail.
I got the instructions from:
http://www.schwie.com/brad/?p=22
It worked like a champ. All my outlook folders etc were all imported into Mail.