In Outlook, right click on 'Folders' on the left navigation pane and then choose 'Add Shared Folder'. (see image below)

Type the mailbox you wish to add in the box which appears.  The address will normally popup before you finish typing and then click add. (see image below)

You'll then see it listed underneath your normal set of mailbox folders.  (see image below)

This will persist through logging in and out.