CHeck the help file in entourage, first of all. Second, look under "file."
THere is an import option there. CLick on that, and it should give you your choices.
I imported my mail from Claris e-mailer a couple years ago and it maintained all the folders, subfolders, etc. I think it then went into Entourage as "imported mail," but, as I said, within that folder were all the old folders.
Hope this helps.