Outlook doesn't have that option. You'll need to use a 3rd party utility.
see http://www.slipstick.com/addins/contacts.htm

See http://www.slipstick.com/contacts/addauto.htm for various ways to save
senders or recipients as new contacts automatically, depending on your
version and configuration of Outlook.

While this won't solve your problem directly, when you are in the email that
you are going to respond to, or once you have already clicked Reply, you can
r-click on the sender's address and scroll to 'Add to Contacts'.  This will
automatically create a Contact card for this person for you.

Juli