If you are using IMAP and your old files are still on the online email client like Gmail, Yahoo or Outlook then it would be very easy for you to just sign in with the same email address in Apple Mail and all your emails will start downloading in Apple Mail.
If Not So, Then:
An Unconventional Way
On the PC:
-Install Thunderbird & launch it. Import from Outlook (not Outlook Express)
-Let it import account settings, contact & email
-Copy Thunderbird profile (on XP: c:\Documents and Settings\your userid\Application
-Data\Thunderbird\Profiles\your profile.default, Vista/Win7: c;\Users\your userid\AppData\Roaming\Thunderbird\Profiles\your profile.default) to your Mac using a thumbdrive.
On the Mac:
-On the Mac, launch Mail.app & go to File ~> Import
-Choose Thunderbird & import the profile folder you copied to your Mac. The imported mail can be found under "On My Mac"
-Go to "Mailbox ~> Rebuild
Let us know if that works or if you have any issues along the way.
Also, here are some forums that discussed the same: