Microsoft finally released a long awaited update for Outlook 2002's holiday file. This update adds holidays from 2006 through 2011 to Outlook 2002.
http://support.microsoft.com/?kbid=910619

Note that this patch only works with Outlook 2002, as it does version checking. Users of other versions will need to see http://www.outlook-tips.net/howto/missinghol.htm for an updated holiday file.