You may find it easier to use an intermediary. Presumably your O E email is on your PC? Install Mozilla Thunderbird, and use it to import all of your O E email into Thunderbird. Thunderbird uses the industry standard MBOX format, and hence you have just converted all of your email to MBOX. Mail can import MBOX files, and thus, you can just pick up those Thunderbird MBOX files, move them over to your Mac and import them into Mail.
The only trick with this is that if you have an O E mailbox called, say, "email, May 2005", Thunderbird will create two files, one called "email, May 2005.msf" and the other called simply "email, May 2005". It is this later file that is the MBOX file. The first one is just a Thunderbird mailbox admin file.
I have taken these Thunderbird MBOX files and imported them into all sorts of email client - this works pretty well. Actually, Mail was the toughest one to get this going on, because it is EXTREMELY picky about what it accepts in its MBOX files. Thunderbird is much more forgiving.