In Outlook, email filters are called email rules.  These rules are used to help manage incoming emails and have the same functions as email filters in other clients. 

Outlook 2010

1. First, under the File tab click "Manage Rules & Alerts".
2. Once you are in Rules & Alerts, on the Email Rules tab click "New Rule."  The following box will appear:
3. This is where you will create your rules.  On the first page, you will select a template and edit the rule description.  Once that is done, click "Next" and you will get more options
4. On this page you will make the condition that the filter will be used.  For example you might filter your email so that if it has the word "receipt" it will go to a Receipt Folder.  Once you have made the condition, click Next.
5. Now you will put in the action, or what happens when the email is filtered.  Using the above example, we will have the email go to the Receipt Folder.  Click next again.
6. Finally you will name the rule, and the Rule has been created.

You can choose to run the Rule on messages already in the inbox, or just activate it for all future incoming emails.  Once you are all done, click Finish.  You have now created a Rule in Microsoft Outlook.