You may see a dialog box like the one below, especially if you are running Windows XP. Click Install, as shown in the screen below. The publisher will be listed as Unknown Publisher.
Once you click Install, restart Outlook. You will find a new toolbar, like in the screenshot below.
If you're running Outlook 2007 or Outlook 2010, you can also right-click a message, and you'll see a Boomerang menu added to the context menu, like below.