You can create a Contact Group (as Distribution Lists are called in Outlook 2010 and later) directly from the recipient list of the message but depending on your Outlook version and settings, you might need to take some additional steps.
Outlook 2010, Outlook 2013 and Outlook 2016
Creating a Contact Group from the recipient list of a message goes quite quickly in Outlook 2010 and later;
- Right click on a recipient in the message header in the Reading Pane.
- From the context menu that pops-up, choose; Select All
- Now that all the recipients are highlighted, press CTRL+C to copy them or right click on the selected addresses and choose Copy.
- Open your Contact Group or create a new one via;
New Items-> More Items-> Contact Group
(or use the keyboard shortcut CTRL+SHIFT+L)
- Press the “Add Members” button and select “From Address Book”.
- Place your cursor in the field next to the “Members->” button.
- Press CTRL+V to paste the copied addresses.
- Press OK and the addresses will be added to the Contact Group.