Ususally in Outlook 2003 there is a private checkbox in the lower right corner however in 2010 this seems to have disappeared.
How can I mark an appointment as private in Outlook 2010
Here is the help from Microsoft concerning this:
If you want to prevent private calendar details from printing this is interesting for you, too:
Generally this site is a good resource for the most common tasks in Outlook 2010:
For an Outlook meeting or appointment, select the item in your calendar (or double click to open it if you prefer to), and look on the ribbon for a yellow padlock icon. Click to mark private, click again to unmark (if it is highlighted in yellow, this appointment is already marked private). In the to-do bar on the right, private appointments are marked with a small black padlock icon. You can also right click items here to mark/unmark as private.
For meetings, attendees will obviously still see the item (their own copy in effect), but anyone with any level of access to your calendar right up to full editors will not see the details of private items, only the status (free, busy, tentative, out of office).
You can't mark messages as private, although you can use permissions to set up access (more needs to be done to get this working) or you could make sure you keep them in a folder which is not shared (and possibly use a rule based on the subject or recipients to move sent items there so you don't forget).
Hope this helps.