The University of Wisconsin Knowledge Base details several options here, including importing MBOX data into Microsoft Outlook, Apple Mail, and Mozilla Thunderbird.
To convert your MBOX file into a Microsoft PST file, use the MBOX to PST Converter
We only export Gmail records in the MBOX file format and do not provide it in the PST file format.
To convert your MBOX file into a Microsoft PST file, you will have to use conversion software. An example is SoftLay's Backupify Converter
Note: Datto has no affiliation with SoftLay or their Backupify Converter application. Any questions or support requests related to the Backupify Converter software should be directed to SoftLay.