Out of Office is a function of Exchange, so if you connect to an Exchange
server for email (normally this would be in a decent-sized business
environment), then the option is under Tools.

If you are a home user and don't have an Exchange server for email, then you
have to create a rule. The only issue with this is that you have to leave
Outlook up and running during the time you want the replies to go out stating
you're out of the office.

http://www.howto-outlook.com/faq/oooa.htm