You have to wonder about what goes on in the mind of MS developers - if MS software is incapable of supporting their own proprietary formats what chance do third parties have... sheesh. I would post what the help for Entourage recommends you do to get around this but it is eye-poppingly moronic.
My recommendation is to stop using Outlook on the PC (as someone who uses it every day and has it drive them batty with its idiotic interface and usability issues, it ranges from the good to the exceptionally mediocre to the infuriatingly rubbish anyway) and move to software that doesn't lock you into proprietary formats or monolithic databases for files that you will need access to in the near to distant future. I would also strongly advise you to not use Entourage for the same reason. Unless you use the business-orientated features, you are much better off using Mail. Wean yourself off the MS teat... your life will be much better for it.