Which version of Outlook?
Do you have an Exchange account? POP? IMAP?
Why Entourage? Now that SL supports Exchange, Entourage is a large bulky slow albatross. This morning, I uninstalled Office 2008 altogether, good riddance.
If you have Exchange, sync to Mail.app. Same if you have an IMAP. If you have POP mail downloaded into Outlook, your best (free) bet is to create an IMAP account somewhere, and copy all your messages to the server. Then download / sync them to the Mac.
Failing that, there are some PST-to-Mac converters, but they are very version specific.
Good luck!