From Dan Michaels:

In short, there is not a Junk Mail List feature in Outlook for the Macintosh. You can, however, create separate rules for each email address you want to "block" mail from. Actually, you will still get the message(s) but the rule will automatically move them from your Inbox to your Deleted Items folder without you ever having to see them.

To do this:
1) Copy the junk mail sender's address from the header of the message to the clipboard. The spammer's return address will be a hyperlink above the message - just click on it and it will pop up with a small window where you can highlight their address with the mouse and then select Copy from the Edit menu (or press Command-C).
2) Go to the Tools menu and select Rules. Paste the spammer's email address in the From line and then put a checkmark in front of Delete below.
Viola! You'll never see messages from that sender again.

This is also discussed in the Outlook manual from training. If you were not able to go to training or did not get a manual, new manuals have recently been published. I CC'd Karen Wenz so she can give me a reminder on how to get copies [Thanks Karen!].