It depends on your version and the format used for these addresses.
Here's the method that would work:
http://www.outlook-tips.net/archives/2004/20041105.htm

Signature
Russ Valentine
[MVP-Outlook]
> Can I make a distribution list from an email I received from someone else?
> A
> coworker sent an email to dozens of people. I would like to make a
> distribution list using those same names. Or, can he email me his
> distribution list and I save it in my contacts?