You can't directly copy the folder structure and e-mails. However you can export it all from Windows then import it on Mac. There is no requirement to use Outlook for Mac for this but you need a third party app to do it and they all appear to cost.
If you want to use Outlook for Mac:
www.dummies.com/how-to/content/switch-from-windows-outlook-to-outlook-2011-for-ma.html
IMAP basically works like this: instead of all your e-mail being stored locally on your computer it's stored remotely on ISP's mail server. The server sends (pushes) the folder structure and e-mail headers (sender, subject, time, etc). When you click to open a particular e-mail it's downloaded from the server to your computer.
Using it requires that your ISP provides IMAP and you may need to enable it (noting some charge extra for the privilege). As noted it has the advantage that every device sees the same e-mail as it's all on the server.
If you've been happily using POP then I'd suggest keeping it simple and continue to do so for now. Migrate the e-mail first and change to IMAP (or not) later once you've settled in. Not that IMAP is complicated or hard, just I'm a firm believer in one change at a time where possible
