Here are the steps that I have done (with help of several websites):
1) Look for where Outlook stores the mailbox, normally you can get this setting via the Preferences or Settings.
2) Use Outlook Express to import all the mail from Outlook (this is because somehow Thunderbird cannot recognise the Outlook Mail).
3) Download and install Thunderbird on your Windows machine.
4) Use Thunderbird to import all emails from Outlook Express (make sure you select Outlook Express).
5) After import, check the "Preferences" or "Settings" under Thunderbird to see where it stores all the email.
6) Thunderbird organises each of the mailbox as separate directory. Copy all the folders that you want to import to Mac.
7) I uses Apple Mail and select File -> Import Mailboxes...
8) Select Thunderbird and select the thunderbird mailbox that you have just copied.
9) Apple Mail will import all the folders and put them under "On My Mac -> Import".
I have to spent sometimes to organise the folder to different level but I got most of the email messages. Although I don't quite like how Apple Mail organise the folder and mail.
Found a problem where whenever you tried to move an email from one folder to another, it does not delete from the source folder. It just greyed out the email in the source folder. When I press delete on that email, it still would not delete it. Is this a defect? Or just I haven't accustom to the way Apple Mail works?