Import a windows based *.pst file (from Office XP) into Entourage
Microsoft's Macintosh Business Unit released the .PST Import Tool to migrate data from Outlook® 2001 for Mac to Entourage® 2004. See instructions and download PST Import Tool for Entourage 2004 for Mac
Outlook uses a .pst file format which is not recognized by most other programs. Your .pst files need to be converted into .mbox files so Entourage can import.
Other options to convert your Outlook mail into the MBOX format.
Use Mozilla Mail. See Dave Riches tutorial here
Use Paul Berkowitz's Export-Import Scripts (shareware). Download here
Outlook2Mac…Transfer Windows® Outlook® email, contacts, and calendar appointments from your PC to your Macintosh® computer!
Use IMAP account to transfer messages
Use Eudora as an intermediary