Do you have it set up as a POP account? If so, and you haven't enabled certain advanced features, your mail was downloaded to your PC in Outlook and then deleted from the server. That's why they don't show up on the Mac -- because you already got them on the PC!
If you have it set up as IMAP and it's still doing the same thing -- showing up on the PC and not on the Mac -- then something else is wrong, but I think the first part of my answer may be accurate. Double-check the POP/IMAP setting.