For messages, use the Import Mailboxes feature with Entourage listed as the first email client to choose from.
For Address Book contacts, you have several options. With Entourage and the Apple Address Book launched and both positioned on the Desktop so each is partially visible, select an Entourage contact and at the menu bar go to Edit > Select All to highlight/select all contacts. Click on and drag the selected contacts to the Address Book "All" Group which will copy all contacts over.
If this doesn't work, create a folder on the Desktop named contacts or whatever you prefer. Do the same with all Entourage contacts but click on and drag the selected contacts to the folder on the Desktop which will create a copy of each contact as an individual vCard file within the folder.
At the Address Book menu bar, go to File > Import and select vCards navigating to the folder created on the Desktop which contacts each Entourage contact as separate vCard file.
Assuming you are using Office 2004, Entourage 2004 includes a sync with Address Book and iCal function. Selecting this will sync the Entourage address book and Apple Address Book.
And then, how would I back up my emails/address book?
I think I found the folder for MAIL, but I cant seem to find
the folder where all the Entourage messages are kept. I'd
like to backup all my data.
All Entourage data is stored in a single large database file located in your Documents folder > Microsoft User Data > Office 2004 Identities > The name of your Identity.
Regarding Mail, go to Home > Library > Mail. Copy the Mail folder and place the copy on your backup.
Go to Home > Library > Preferences > com.apple.mail.plist. Copy the com.apple.mail.plist file and place the copy on your backup .
Done with backing up Mail.
For Address Book contacts, at the menu bar go to File and select Back up Address Book.
Save this file on your backup and you are done.