It's called threading, and if you look around in the options you'll probably find a setting to turn it on/off.

Just do take care using Outlook. It's a spammer's wet dream of an email client. Low security, easy to exploit default settings, uses Internet Explorer to render all email messages, etc. You'd be wise to find an alternative, but if you insist on continuing to use it for whatever reason, just be sure to be very careful.