Outlook stores all messages inside a proprietary .pst file - the Mail program under OS X cannot read it at all.
The easiest way to transfer messages over is using an IMAP email account (e.g. .mac, but also many others). Copy all mails to folders on the IMAP server - then add the same account to the Mail application on the Mac. Now you can just drag and drop mails from the server to local folders under Mail.
There are also a few tools and scripts that will either import .pst files on the Mac or convert the .pst file to an OS X compliant mbox for the Mac - searching on e.g. Versiontracker will bring up a few. I can recommend
http://www.littlemachines.com/ - O2M application, it costs 10 USD, but well worth it.