Outlook 2002 and 2003 have an additional option for the filtering dialog - it's called QueryBuilder. To access it you just need to add the QueryBuilder key to the registry:

Outlook2002
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\QueryBuilder

Outlook 2003
HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Outlook\QueryBuilder

Now you can create an AND/OR query using the Filter dialog in Search Folders, Define Views, Automatic Formatting, or Advanced Find.

For more information, see:
http://www.slipstick.com/emo/2004/up040722.htm#query
http://support.microsoft.com/?kbid=307922

Update: Since this tip was written before Outlook 2007's release, its not mentioned as working with outlook 2007. QueryBuilder will in Outlook 2007. It does work and the registry key you'll create is
HKEY_CURRENT_USER\Software\Microsoft\Office\12.0\Outlook\QueryBuilder