With a cheaper camera you can still get good results, mine was £200 about 5 years ago so has been surpassed by cheaper cameras now.
Yep, all down to lighting and taking a few pics at slightly different focal lengths to allow the macro to do it's thing, as it will focus on various parts differently ... i.e. take a few in order to select one out of the set that has the best definition (delete the dud ones or your hard drive will fill quite quickly).
Some flies are trickier than others, simply lining up good natural light (even with some reflectors as well if you want to get technical) can get great results.
When inside you can use normal desk lamps but buying some daylight bulbs for a few quid is a good move, then colour correction on the camera is less important. Experimenting with a number of light sources i.e a stronger top right source from a desk lamp at say 1 - 2 feet, weaker light from the left to the side (lower angle to infill detail at say 3 - 5 feet) and a general back light.
Electric desk light shot - a bit over lit, might have moved the lights a bit furher away?:
Afternoon sunlight - could have done with a white board to reflect some light in from the left (but a pain on windy days)?:
http://www.dpreview.com/news/0309/03...ympusc5060.asp - from this camera (ignore price I got it cheap from Pixmania).