If you have a new enough iThing or other device, then you'll find "Outlook.com" as one of the options when you create a new Mail/Calendar/Contacts account.
If your device is a bit older – iOS6 or iOS5 or earlier – or is OS X or Android, you may not have an Outlook.com option. But you probably have got an option for adding an MS Exchange or an Exchange ActiveSync account. This works well with outlook.com so long as you know the right settings. This worked for my iPad and older Android phone:
Email and password: <your actual email address and password that you can use to login to outlook.com with>
Then on the settings page you need:
Server: s.outlook.com
Username: An outlook.com alias, including the @outlook.com bit, which you can use to log in to outlook. This may or may not be identical to your email address
Domain: First try it empty; otherwise try outlook.com
And that should Just Work. Using outlook.com with a non-outlook email address, I find that this set up picks up the Default From Address that I set via the web interface.