Will need to do this myself soon so thought it worth learning how. Don't have the best method yet, but here's what you can do FOR ONE MESSAGE AT A TIME (still working on how to do a few years' worth in one go):
1. In Mail on Mac OS X, select the email you want to transfer.
2. Choose File -> Save As...
3. Choose Format -> Raw Message Source.
4. Save the file. You'll end up with a file containing the text of the email including its original internet headers.
5. Transfer this file to the Windows machine (using Samba, etc).
6. Position it on the desktop where you can easily grab it for drag'n'dropping.
7. In Outlook Express on Windows, view the mailbox where you want the emails to go.
8. Drop the transferred file(s) in.
The emails should now appear, correctly dated and subjected.
As I said, still working on doing multiple emails at once. It's probably got something to do with converting the
~Library/Mail/ .mbox files into something the MBOX-challenged OE6 can understand.
Going to start Googling for this method, but if anyone knows, PLEASE save me the trouble.