There is no conversion utility.
To do this, you would need access to an Exchange server.
One thing you could try is setting up an Outlook.com mailbox, then adding that to your Outlook for Mac as an IMAP server. Dump all the mail from your current folders into that new account and let it upload. Once done, set up the Outlook.com mailbox on your Windows system and let it sync.
You can then add your regular mail account to your Windows Outlook.