You can't natively.
No full versions of Outlook ever had the ability to add recipients
automatically to your Contacts Folder. Only the long abandoned IMO mode of
Outlook 98/2000 did that. To automatically add the email address of people
you respond to to your Contacts Folder requires code:
http://www.outlookcode.com/d/code/autoaddrecip.htm
http://www.slipstick.com/contacts/addauto.htm

I hope don't commit a faux pas by adding to this question, but it is almost
the same as the question I have.  I want to be able to select the entire
email recipient list and add it to my contacts list.  I checked this list and
also Googled for Outlook 2003 Add-Ons.  Everything I can find refers to
having addresses automatically added from  emails that are sent or replied
to.  I want to add email addresses from emails I have received.  That is, to
simply select all recipients, right click, and then select something like
"Add all to Contacts".  Of course I can do each one individually, but that's
a bit tedious.  It seems that there are many with the same questions and the
lack of this feature has spawned solutions by pay-for add-on companies.  
However, this is very basic stuff and should be a feauture.  Any chance the
MS will fix this in Outlook 2007?  If not, any idea why?
Thanks for any help you can offer or , Tony