Outlook doesn't have identities.  You have two choices.  One is to create
separate mail profiles for each of your accounts.  You can then have a
separate mail store for each.  To switch between then, you enable the option
in the Mail applet to ask for the profile when Outlook starts and then when
you start Outlook, it will ask which profile to use.  I don't think this is
the best choice here, though.

Instead, I think you should create separate send/receive groups for each
account.  You can then control the sending and receiving for each and it
won't interfere with the others.  However, since you didn't state your
Outlook version, it's impossible to explain the steps to do this.