It's called Entourage on Mac and you get it with the office for Mac. Here is how it's done...
Export Outlook Express (PC) messages to files using its drag and drop feature. On your PC, run Outlook Express ("OE") and select all messages in "Inbox" folder (I used Control-A), and drag and drop all of the selected messages to an empty folder (I named my folder 'Inbox'). The drop took a little over three minutes on my PC for exporting 1028 messages.
Verify that the number of files created matches the number of msgs in your OE Inbox (right-click on the Inbox icon in OE and select Properties to get that number). By the way, the exported files are ".eml" files which have the header and body of the message, in plain text format. Fortunately for us, OE has this convenient feature.
Check if any ".nws" files were created (or anything besides .eml). If so, I found that Entourage didn't accept files with the .nws extension. I had two of these for some reason and both were junkmail, so I deleted them. You may have to rename yours to .eml if you wish to convert these over, but I haven't tested to see if renaming it will work. Repeat all of the above for your other OE folders ("Sent," etc.) Each OE folder should have a separate Windows folder.
Transfer these Windows folders/files to your Mac. I used an external HDD formatted as FAT32 to copy the folders over; of course, you can use any method.
Use Entourage (Mac) as the intermediary to convert to MBOX format (if Entourage is your target and not Mail, all the better). In Entourage, create a new subfolder folder branching off "On My Computer." In Mac OS, select all the .eml files which came from OE "Inbox" and drag and drop them into this new subfolder in Entourage (the cursor will show a + sign if Entourage allows you to do the drop. If it doesn't, check that you only have .eml files and try again; I found Entourage accepts .eml and not .nws to be dropped). Note that this operation would take a little while to complete; Entourage, or Mac OS, may not respond for a few minutes. . You'll have to do this for "Sent" and your other OE folders, but not now; you have to do this one folder set at a time.
Entourage will create one folder with one message inside it for each .eml file you drop in it (e.g. for 1028 msgs, 1028 folders will be created, each with one message inside it). The messages are considered imported to Entourage at this point, though in an inconvenient fashion. You'll be using a "Mail View" to consolidate all such messages into one view, of which an MBOX file can be created.
CAUTION: If you drop messages into your Entourage Inbox unintentionally (or other built-in folder), you can end up with thousands of subfolders underneath it which will have to be deleted one by one and not as a group. It's possible to delete them manually, but it is not pleasant. Please be careful and just drop the messages only into your new subfolder.
Create an Entourage Mail View that excludes all folders (even the one new subfolder). For Criteria, set Match "if all criteria are met," "Folder Is Not Inbox," "Folder Is Not Outbox," etc.). This'll be a nuisance if you have lots of Entourage folders, but hopefully it can be managed. The point is to identify the messages just imported and consolidate them in one view listing. Check the view for errors. Sort it by date and scroll through from the start to end to check if the topmost and bottommost messages have either empty dates or today's date and time in it. If there are such messages, these are errors and you can correct or delete them if you wish.
If you wish to correct them, look in these messages and pick out text that you can use to identify the .eml file where it came from (using Finder search). These messages will have "From" or "To" in the beginning of the message after the header, all you'll need to do is change them to "Fromx" or "Tox" or similar to prevent the message body to be confused as part of the header. Delete the entire drop subfolder and empty the deleted items folder in Entourage and start over with the drop, and check again if there are any more errors.
When all the messages look good to you, or if you choose to just delete the ones with errors, then make sure Entourage is finished populating the view, then select and drag and drop the Mail View folder (the view icon, not the messages) to your Desktop. This will create a ".mbox" file on your Desktop with the name of the view.
At this point you can generate separate mbox files for your OE "Sent" and other folders; however, you must delete the new subfolder you created in Entourage, and empty the deleted items folder and start over with a new Entourage subfolder before doing each drop -- otherwise the view will pick up messages from previous drop(s).
Import the Entourage .mbox file(s) using Apple Mail. In Apple Mail, select File -> Import Mailboxes, select Standard mbox files and point it to the folder with your .mbox file(s). Ensure each .mbox file is checked. After clicking ">>", Mail will start importing one message at a time.
Check the number of msgs imported into Apple Mail (shown when the mailbox is opened in Mail) -- the number should match the number of .eml files fed into Entourage. If it doesn't match, a common error is the Entourage Mail View wasn't populated completely when it was exported to mbox; start over with the import into Entourage and make sure the view is finished populating. Another error is the From/To error mentioned above; if you chose to just delete the bad messages, the numbers won't match exactly. Also, make sure the deleted items folder is emptied between each drop to avoid duplicate messages.
At this point, if everything went as planned, messages in the Apple Mail's Import mailboxes are ready to be moved into your In, Sent mailboxes. If this worked for you, congratulations! Enjoy your new Mail setup.
Best of luck