transferring data from entourage 2004 to outlook 2011 for mac

I have recently bought a new Mac. It is running Office for mac 2011, Home and Business including Outlook version 14.3.6. 

My old G4 computer is running Office 2004 and its mail application is Entourage for mac 2004 version 11.4.0. I have tried to transfer my old emails to the new mac by using 'File Export' and exporting Microsoft User Data from the old mac document folder to an external hard drive. I have then used 'Import' to get this data from the external drive to the new mac - while my 2004 Microsoft User Data has been imported from the external storage including my Office 2004 identities, my old emails have not appeared in the new Outlook's window. How can I get these mail messages into Outlook on the new Imac?