Go to File -> import ->mail and address books pick OE. Same again and account settings (or something like it).
This will transfer all your mail, address book and account settings over to outlook.
Under tools ->options have a look around for a box about checking to see if Outlook is the default mail program at start up. Check that and on restarting outlook it should ask you.
Alternatively use the "set program access and defaults" option, if you are running windows 2000 or XP, to change the default mail program