see if the link will shed some light with your problem.
Converting Pegasus Message Folders
Thanks to the kind contribution of Max Nilson, the Pegasus Conversion Tool copies all existing messages from the Pegasus *.PMM files into OE's *.MBX files. The file folder, once converted, has the same name in OE as it did in Pegasus. The only information lost is the read/unread state of messages. Now for the legal stuff.
The Pegasus Conversion Tool has been designed as a one off conversion of the Pegasus Mail mailbox format to the MS Outlook Express *.mbx format. It has not been tested on all possible Pegasus Mail mailbox formats. The author will not be held responsible for any data corruption, loss or other horrible occurrences. The user of the Pegasus Conversion Tool is responsible for ensuring that adequate backups of any critical mail messages are stored in a safe place before using the Pegasus Conversion Tool. USE AT YOUR OWN RISK!