With your budget, the C-5060 and a PT-20 housing will get you started. Don;t worry about a strobe or additional lenses just yet. You need to learn to use the camera inside and out as is first before you start adding peripherals. Master non-strobe shooting first, you'll be much happier with your future photos if you do. In fact, master esch step along the way before you move on to the next. If you don't, you won't get good photos at any stage. The internal built-in flash on Oly cameras is very good and will be all you need for most macro shots.
Spend the rest of your budget on at least one extra battery, preferrably two and a good charger. A large 512meg Compact Flash card...no smaller than 256meg, extra o-rings for the housing, extra dessicant packs. A good carry-on bag if you plan to travel with it. You can spend almost as much on these 'incidentals' as for the camera and housing but they are very important.
Just my 02¢