Drag & drop from Outlook into Opus should work. I've used it in the past but don't have Outlook at home to try it now.
Things may get confused by Opus doing a Copy or Move instead of the other operation but if it's just that you can force drag & drops to do one or the other... Before we get to that, what error do you get when you try to drag messages from Outlook to Opus?
By the way, dragging will just produce a .msg file like Ken says. This file will have the attachment embedded inside of it. If you want your attachments and messages to be saved separately the best way to do that would be to write some VBScript that runs in Outlook. Not sure how easy that is, though. (Perhaps there are already email-export tools for Outlook? Or you could export to another mail format and run a tool on that.)