Use categories (Edit>Categories). If the appropriate option is activated
in Entourage's preferences, any message from a contact that has been
assigned a certain category will also be assigned to that category.
Furthermore, categories can be applied manually and via rules.
Keep in mind that unless you use Entourage Web Services Edition (which
only works with the most recent versions of Exchange 2007), these
categories will not be stored on the server, meaning that if you ever
need to rebuild your Exchange account, or if you attempt to access it
from another computer, your categories won't show up, and you need to
recreate them manually.