Nothing you can do about it, Adcadet. Outlook just plain runs slower than OE. When I first started using Outlook (switched from OE5), I noticed the same thing. My god this is slow, I thought to myself. After a month of getting used to it, I never once thought about how slow it was... until I started using the vomit box at work. I only thought about how useful and well-designed it was... and more importantly, how it changed my life by vastly improving my time management, contact management, and organizational skills.
The different file formats we were talking about involves local storage of e-mails in a Personal Folder (PST file) versus IMAP/webmail like online storage of e-mails on the Exchange server (OST file). Of course, every time you run applications or constantly stream data off a server, it will be slower than having everything local on your hard drive. Same thing happens with Notes. Some people just don't know that they should be working off a local copy instead of off the Domino server for better performance.
If you are using Outlook at home, you probably won't be using it with an Exchange server, so you don't even have to worry about any of this.