Outlook Express has a feature that allows you to add addresses you reply to, to your address book. Many users who move to Outlook miss that feature. I'm not sure why, it tends to fill your address book up really fast, especially if you are active on mailing lists... But many people like the feature and miss it.
Outlook 98/2000 in Internet only mode offers the ability to automatically add addresses to your Contacts folder. Anyone using Corporate mode or Outlook 2002/2003 needs to add the addresses themselves. It's not hard - right click on the From field (or To/CC fields when other addresses are included) and choose Add to Outlook Contacts. This works with an open message or from the preview pane, in all versions of Outlook.
Unfortunately, when messages are sent to more than one person, you can't right click and add everyone to a distribution list.
If you want to automatically save addresses to your contacts, get ExLife or the custom action for Rules Wizard. You can use these programs to save addresses based on rules, either as the messages arrive or when you reply. Because these utilities are rules based, you can reduce the number of addresses that are automatically saved. Ornic also has a new rules engine, Inbox Rules.