This is on the File tab in Outlook 2010 and on the Tools menu in Outlook 2007. Step 2: Select the Sent Messages folder in Account Settings
Click Query to list all of the folders on the server.Right click on one of the folders in the iCloud folder list and choose IMAP folders. The Sent Messages folder is not subscribed by default, you'll need to do this step first. Step 1: Subscribe to the Sent Messages folder
See Sent Messages aren't Syncing to change the folder the phone uses. To change the folder in Outlook, follow steps 1 and 2 below. ICloud users who want to sync their sent items with Outlook 2010 or Outlook 2007 can configure Outlook's Sent folder to use iCloud's Sent Messages folder for sent items, or change the phone to use the folder Outlook uses.