Importing emails from old Windows 7 PC

My new iMac is wonderful, but right from the start I've had 1 issue that I can't solve.
(Yosemite 10.10.3)

I have loads of emails stored on my PC and I want to move them to my iMac. Should be easy I was told.

Email accounts were moved relatively easily but nothing I do works for emails.

I tried:

exporting files from windows mail and importing in Apple Mail. Wouldn't accept the file format.
Windows mail gives 2 options of file to export so I tried both. Neither worked
Apple Mail will import from Thunderbird, Netscape, Eudora and .mbox files. None of these are on my PC
Then I wondered about exporting them to Outlook on PC then over to Outlook on iMac. I eventually completed the task. Outlook on iMac shows all the folders as they were on PC but they are all empty. (Outlook 2011 14.5)

I spent ages last night on chat with a very helpful Apple support guy but he came to the conclusion it was a Microsoft problem and said to contact them.

I'm sure members here will have more knowledge and advice than Microsoft would so can anyone suggest how I can move these emails across?

Thanks