I am on Evolution at home so I can't remember the exact keystrokes but I think you go into your address book, then create a new contact group, then drop the contacts you want to add into the list. Then you can choose to select the whole list when you send.
Hopefully someone on outlook will be along in a sec with the answer, but you are not mad and it should be listed somewhere.
(If you click on "new" in your address book, does an option come up on a dropdown menu offering to create a new group? (wracks brains))