Ooh... I got this to work once, but I'm not sure if I remember how.
Here's one potential option that'll almost certainly work: Eudora for Windows should be able to import mail from Outlook Express. Once you've got the mailbox(es) in Eudora's mailbox format (.mbx, I think), you can then get those onto the Mac.
Once they're on the Mac, Mail.app can import Eudora mail via the "Import Mail..." command, so you might just be able to do that, but there's one potential caveat: the Windows Eudora files use a different linebreak than the Mac ones, and I know these must be manually changed for the Mac Eudora to recognize them.
If Mail doens't know what to do with the straight-from-Windows mailboxes, you'll have to get a utility that can convert PC linebreaks to Mac (I used BBEdit light, but there are others), do that, maybe then actually get them into a working Eudora account (Mail might want that), then import them.
It's also possible there's either an export function of some sort in Outlook Express (doubt it), or that Mail can import directly from Outlook Express Windows (doubt that too, but worth looking in to).
Good luck.