Outlook 2002 holidays go only through 2005.  You can get a new holiday list from Microsoft that will work, but you need to extract the files using WinZip and rename the outlook.txt file to outlook.hol.

Double click on the outlook.hol file - if this brings up the Add Holidays wizard, select the countries you need and complete the wizard. If the wizard does not come up (it may come up behind windows - use Alt+Tab to look for it), you'll need to replace the existing outlook.hol file and bring up the Add Holidays wizard from the Tools, Options, Calendar dialog.

Notes:
The Outlook.hol file is at C:\Program Files\Microsoft Office\OFFICE10\1033\ in Outlook 2002.

This will add holidays for previous years too. If this is an issue for you, use the group by category view to delete holidays before importing the new list.

Additional holidays file download:
http://microsoft.com/downloads/details.aspx?FamilyID=7d4d9017-8d4e-4963-8ba7-d2e91d491f5e&DisplayLang=en

More information on holidays:
http://www.slipstick.com/calendar/holidays.htm
http://www.outlook-tips.net/howto/missinghol.htm