To create a new contact from scratch, go to "New Items > Contact" in the Home tab or press Ctrl+Shift+C: enter as little as one piece of information and click "Save & Close".
Add contacts from emails: save yourself some typing and load the email in the Reading Pane (or double-click to open it). Right-click on the "From" field. Choose "Add to Outlook Contacts": Outlook 2010 will create a new address book entry, and open a dialog prepopulated with as much information as it could gather from the sender.
To edit a contact later on, right-click in the From area and choose "Lookup Outlook Contact". To access all contacts, press Ctrl+3 (not on numpad), or click on the business card icon at the bottom of the Navigation Pane, and double-click on any contact card to update it.
An option allows you to make Outlook 2010 automatically add contacts as you email new people: to confirm that this setting is enabled, click on "File" (top left), and choose "Options".
Select "Contacts" on the left, and check the "Automatically create Outlook contacts for recipients that do not belong to an Outlook Address Book" checkbox at the bottom (right).