You would need a third party solution to create a .pst file. You can export as .mbox file. This is a cross platform file format and you should be able to import into Outlook on Windows.
The one I know is
Entourage to PstThe easiest option is to use an IMAP account for the transfer. Move the messages from your "On My Computer" folders to an IMAP account then add the IMAP account to Outlook on Windows and the messages will download.