are we talking Outlook (which version?) or Outlook Express (which version?)? This is kinda important as different versions of those apps offer different export options. What you're looking for is an export of basically _any_ kind. I remember that it's a drag, but that's really MS' fault. (They don't _want_ you to use another E-Mail program...)
You might try a 'workaround'. Maybe you can install Eudora on the PC and import mail from Outlook there. Eudora uses textfiles iirc for mailboxes - just like Apple (or similar). Then you can import these on the Mac. It's a drag, I know, but it's a fact.