Microsoft stopped updating Outlook Express for the Mac with the version you tried to download... and it was never updated for Mac OS X (so it won't run). Like suggested, Mail (included with your Mac) is a really good (and free) alternative. If you really need features specific to Outlook, you'll probably have to buy Microsoft Office, which comes with Entourage (the juiced-up version of Outlook).
p.s. funny how it took four responses before anyone offered any real help.