Outlook 2007 and 2003 had the "Out of Office Assistant" and Outlook 2010 has "Out-of-Office Automatic Replies" - in either case, these require using a Microsoft Exchange server. This tutorial explains how to setup an auto-reply message without this mail server.
Compose a new message (Ctrl+Shift+M) and type your auto-reply: ideal indicate for how long you'll be out, whom to contact in your absence (include their name, title, phone, email).
Click "File" (top left of blank email window) and choose "Save As".
Type a meaningful file name, and select "Outlook Template (*.oft)" as file format under the "Save as type" dropdown. Keep the default path, click "Save", and close the email window.
To create a rule using our auto-reply, click on the "Home" tab and go to "Rules > Create Rule".
Click on the "Advanced Options" button (bottom right), and click "Next" directly (select "Yes" to confirm "This rule will be applied to every message you receive. Is this correct?").
Check the "reply using a specific template" checkbox (8th from the top), and click on the "specific template" link that appears at the bottom.
Select "User Templates in File System" at the top, and double-click on the file you just created. Click "Next", and optionally add any exceptions you need. Click "Next" one last time.
Type a name for your automatic reply, and keep the defaults: "Run this rule..." should be unchecked, and "Turn on this rule" should be checked. Click "Finish".
Send yourself a test message, wait a couple of seconds, and press F9 to send/receive. Your email will be downloaded, and Outlook will (in the background) send the auto-reply: wait a bit and press once more F9, and you'll receive a sample of your out-of-office message!
As long as your computer remains turned on with your username logged into Windows, and Outlook 2010 is not closed, your auto-responder will fire for all incoming messages.
Tip: to turn off your auto-reply, go to "Rules > Manage Rules & Alerts" in the Ribbon's Home tab: uncheck your auto-reply and click "OK".