Not natively. There is third party software that can do this.
http://www.slipstick.com/addins/contacts.htm

Signature
Russ Valentine
[MVP-Outlook]
>I received a letter from a person who has many names in the recipients,
>some
> I have some I don't. I would like to capture all those names a addresses
> in
> a new group without having to go through one by one. Is this possible?