The PST Import tool only works with Outlook 2001 for the Mac. If you are on
an Exchange server, however, you could synchronise your account with Outlook
2001 (free download from the Mactopia website) and then use the tool to
import this PST file into Entourage 2004. Note however that this solution
requires the use of the Classic environment (or a pre-Mac OS X environment)
and an Exchange server, which most people don't have.
If you're looking for instructions on how to get your data from Outlook into
Entourage, try searching the Google newsgroup for something along the lines
of "import from outlook", or "import pst".