A quick and easy way to do this is with a GMail IMAP account. Just setup the GMail account on the Mac and in Outlook on Windows. Then in Mail (Mac) drag the messages from your account to the GMail IMAP folders (make as many as you need). Now in Outlook drag the messages from the GMail IMAP account into the Outlook folders you want.
Another way is to go fro third party applications.
The one I know is : Apple Mail to PST Convert – Convert Apple Mail Emails to WIndows Outlook PST
Choose the way you want to opt.