I have just discovered the neat trick for entering personal birthdays, anniversaries etc. into Outlook. I have used it to add company shutdown periods to all on our network.

Holidays are kept in either outlook.txt (OL97/2000) or outlook.hol (OL2002) - the exact location may vary depending on your OS but mine was in ...program filesmicrosoft officeoffice101033

This file can be opened in Notepad and a new 'Country' added. There is a slight difference in the exact format of the entries - I suggest you follow the same that exists. So, as an example, to add the 'birthday' of this forum, you would add to the bottom of the file:
<pre>[Woody's Forum] 5
First Anniversary,2001/12/22
Second Anniversary,2002/12/22
Third Anniversary,2003/12/22
Fourth Anniversary,2004/12/22
Fifth Anniversary,2005/12/22</pre>

The above is the layout for 2002 - an extra space is used in other versions after the comma. The number '5' after [Woody's Forum] is the number of entries.
Then it's simply a matter of Tools | Options | Calendar Options > Add Holidays and . . . "Ta-Da" - Woody's Forum appears as a country!
Notes: If you already have your country added, make sure to not import them again or you'll end up with duplicate holidays. No reminder is set but they can be manually added.

I couldn't find a MSKB for 2002, but for those who want the official line:
Q180985 OL98: How to Customize Outlook Calendar Holidays
<A target="_blank" HREF=http://support.microsoft.com/support/kb/articles/Q274/0/89.ASP>Q274089</A> OL2000: How to Customize Outlook Calendar Holidays