On Moz/Thunderbird, open the mail client, go to Tools=>Account Settings (Thunderbird) or Edit=>Mail and News Account Preferences (MozMail).
In the "Server Settings", at the very bottom of the dialog is the setting "Local Directory". Change this from the default location to the shared location.
Close Mozilla/Thunderbird and restart. If Mozilla, close all parts of Mozilla.
Warnings:
When setting up a new account, do not let Moz/T-bird download the mail immediately as it wants to (just uncheck the checkbox). Also uncheck the "Download messages immediately" setting while you're in the Server Settings dialog-- probably not an issue as it doesn't have your password, but let's keep it safe and organized until you've got it set up.
Be aware that while your mail filters will transfer, because they are kept in the shared mail folder (this means you can add a filter under either OS and have it work immediately ith the other one, same with creating filter folders), your address book will not transfer, so make sure to export it to LDIF once and put it somewhere where you can reach it to import it into both installations.
Anyway, this definitely does work, as I have 6 OSes (4 Linux, 2 Windows) on my machine at the moment and they all use the same folder on my FAT32 partition. But then again, I've been using Netscape/Mozilla/Thunderbird for a looooong time, and have never used Outlook/OE (though I tried TheBat! once), so actually converting and transferring my mail to a new client has never been an issue. But as far as I know, importing from Outlook or OE or even Eudora shouldn't be any trouble.