If you are using a University-owned computer on campus, and you sign into it with your NetID, then launching Outlook should automatically configure the program to access your e-mail.
If you are off-campus, or the computer does not automatically connect to your e-mail, then follow these instructions. The screenshots below are taken from Outlook 2010. Later versions of Outlook have similar process, but will appear slightly different.
It can take a while for all of your e-mails to sync to Outlook, a progress bar at the bottom should let you know how far through the process it has got.