Click the triangle beside the Importance box.
A menu of choices drops down.
Source: http://www.dummies.com/how-to/content/how-to-set-the-priority-of-a-message-in-outlook-20.pageCd-storyboard,pageNum-3.html#slideshow
Choose Low, Normal, or High. Click the Close button (or press Esc) to close the Properties dialog box.
Usually Importance is set to Normal, so you
don't have to do anything. Putting a Low importance on your own messages
seems silly, but you can also assign importance to messages received in
your Inbox, to tell yourself which messages can be dealt with later, if
at all.
Source: http://www.dummies.com/how-to/content/how-to-set-the-priority-of-a-message-in-outlook-20.pageCd-storyboard,pageNum-3.html#slideshow