On the PC, you can go from OE to Netscape Mail, then bring the files over to your Mac (via SAMBA or FTP or CD). Then import the Netscape Mail files into Mail.app.
Alternately, you can bring your .dbx files directly over from the PC and import them into Eudora on the Mac and rename all of the resulting .mbx files to .mbox, then Mail.app can import the files.