Entourage 2004 is a bit different. Your Exchange Server file is a local file/mailstore where all of your mail/calendaring/etc is kept locally. It sychronizes with the Exchange server based on your preferences found in Account Settings->Accounts->
Your Account->Advanced. The local folder you have is a mail store for account not using Exchange but another protocol such as POP3. The idea is to import your current PST info to Entourage then go on your merry way. One good thing about this scheme is that if your local mailstore gets corrupted you can pull get the data back from the server.
Hope that helps!
Quick edit to add a link to the PST
import tool.
Another quick edit to clarify: PST's are not supported in anyway in Entourage. You can only import the data from an existing PST into your mailstore.
