Outlook Express is the freebie striped down version that comes free with Windows XP and Vista. Regular Outlook comes with MS Office (although I think you can buy it separately).
If you have regular Outlook, use that otherwise Outlook Express will be fine.
Personally I would not go out and buy Outlook just to use with iPhone though. I'd rather buy a mac with Apple mail before I paid one cent for Outlook.
If you set up all your email accounts and stuff now then when you connect iPhone it will automagically suck everything down when you first sync it.
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