I remember from the Windows Outlook, there is a "I'm not in the office" setting somewhere. I'm having trouble locating a similar feature from OS X 10.6 Mail 4.4 app. How do I set the "I'm not in the office" alert?
There isn't really a direct way to do this in Mail.app. The feature you're referencing in Outlook is actually an MS Exchange feature -- it gets implemented on the Exchange mail server, you just interface with it through Outlook.
You can set up a mail rule that automatically replies with an OoO, but in order for this to work you must leave Mail.app open and running. And if you do close it, next time you reopen it the OoO responder will get triggered on all new, unread messages, unless you're super quick disabling the rule before Mail.app downloads your new mail.
There's a program called MacResponder that can automatically reply to email. It runs as a daemon on your system, so your machine still needs to be on. But at least Mail.app doesn't need to be running. It's quite customizable.
If your mail is hosted on an Exchange server you can try logging in to the server's web interface (assuming your admins have enabled it) and setting an OoO message on the server via the web interface. Or fire up Outlook and make the change from there.
If your mail is hosted on Gmail you log in to the Gmail web interface and set an OoO responder on your Gmail account. That works for both gmail.com and Google hosted domain Gmail accounts.