How to run filtering rules in Outlook.com

Provided you're in the inbox view, Options (in the top right) -> More Options -> Send and receive mail from other e-mail accounts

You can then add another email address through the interface, which then sends a confirmation email with a confirmation link.

One thing to note though is that your @hotmail.com address is used in the Sender: mail header though to ensure it's delivered, which means that any delivery reports will probably come back to @hotmail rather than @example, and some programmes will print the sender as x@hotmail.com on behalf of y@example.com

It appears they do, how effective it is... thats harder to say:

Outlook.com also blocks suspected viruses by way of a reputation-based system: Content from parties with a poor reputation (a hit-and-run spammer, for instance) will be blocked, but you can unblock attachments for people you trust. Some attachment types -- EXE files, for instance -- are blocked entirely, even for trusted senders.

Regardless, there are basic internet / email rules that should be followed. such as if you receive a downloadable item that you do not recognize the sender or do not trust the sender, do not open it.