How do I add another user's inbox to my favorite list in Outlook 2010?
This problem confounded me, too, but I've found the answer!
Go to File > Account Settings > Account Settings.
Select the Email tab and double click on your profile. Click the icon for More Settings..
Go to the Advanced tab and click the Add... button. Type in the name of the user as it appears in your Exchange Global Address List.
Click Apply, then OK. Close the remaining dialog box.
The new inboxe(s) will appear in your folder list.
To then make it a favorite, right click the folder and select Show in Favourites or drag the particular folder (Inbox, Sent items, etc.) up to your Favorites and it will open every time.
From How-To Add Additional Mailbox to Outlook 2007:
You first have to provide full access permissions on the Exchange server, then follow the instructions below.
Just go to Tools » Account Settings. Click on your email and then click on Change. Click on More Settings » Advanced tab, and in the Mailboxes type the name of the user mailbox and click on Add.
After that, the user’s Mailbox will appear in your mail folders.
Sadly it just isn't possible in Outlook 2010. Adding another mailbox is the only way.