You can do this with 'categories'. By default the categories in Outlook are just colors, but this can be changed. If you right click on a message, select the 'Categorize->All Categories...' menu item. The 'Color Categories' dialog will open which allows you to create new, rename, or delete categories.
If you then add 'CATEGORIES' as a column in the mailbox view you can right click and assign a category to the message. Multiple categories can be assigned to each message, which should give you the functionality that you want.
