It might help if you told us your operating system because the path that Papa gave may not be correct if you're not running Windows 2000 or XP.
There are a couple of ways to make the shortcut to Outlook. One way is to click on Start-All Programs. RIGHT click on the "Microsoft Outlook" listed there, choose "Copy". Now RIGHT click on the Start button, choose "Explore". When the Explorer window loads, on the left side of the window, follow the path to C\Documents and Settings\Yourusername\Start Menu\Programs, then click once on the "Start Up" folder. Now looking on the right side of the screen, RIGHT click on a blank area, choose "Paste".
You can also do a "Search" on your computer for "Outlook.exe". Find the one that is listed in your Program Files\Microsoft Office folder, RIGHT click on it, choose "Create Shortcut" and a shortcut to Outlook will be placed on the desktop. You can then navigate to the Start Up folder and drag the new desktop shortcut there.
That will put a copy of the Outlook shortcut in your Start Up folder. Restart the computer and Outlook will load at start up.
Hope this helps.