You can do this with a little bit of code in Outlook and a little bit of code in Emacs.
First, if you're using Outlook 2007 you'll need to enable Outlook URLs with a registry addition. Instructions and the registry file can be found here courtesy of David Tan.
Next, this macro can be added to Outlook and will get the GUID of the current email message, create a Org-Mode link and deposit it into the clipboard.
'Adds a link to the currently selected message to the clipboard
Dim objMail As Outlook.MailItem
Dim doClipboard As New DataObject
'One and ONLY one message muse be selected
If Application.ActiveExplorer.Selection.Count <> 1 Then
MsgBox ("Select one and ONLY one message.")
Set objMail = Application.ActiveExplorer.Selection.Item(1)
doClipboard.SetText "[[outlook:" + objMail.EntryID + "][MESSAGE: " + objMail.Subject + " (" + objMail.SenderName + ")]]"
Almost there, add this little bit of lisp to your emacs lisp directory to enable Outlook links.
;;; org-outlook.el - Support for links to Outlook items in Org
(org-add-link-type "outlook" 'org-outlook-open)
(defun org-outlook-open (id)
"Open the Outlook item identified by ID. ID should be an Outlook GUID."
(w32-shell-execute "open" (concat "outlook:" id)))
;;; org-outlook.el ends here
And lastly, update your .emacs file to include the Outlook link code. Just add this somewhere after org-mode is setup.
Now you can call the macro (I added it to my toolbar in Outlook for quick access) and you can quickly create a link to the email in Emacs.
One gotcha, GUID's change when you move a message between document stores, so if you get the GUID to the message while it's on your Exchange server and then move it to your local PST file the link will change. Move the message before you get the GUID.