So the instructions you are looking at are for a message you are writing.
If you click "New Email" then the 'High Importance' 'Low Importance' is on the right side of the ribbon. This is for telling the recipient the importance level of your message to them.
A way to mark importance for a received message, best I can see anyways, is to create 'categories' right click the message you want to categorize and then select categorize, and choose one, you can even rename that color category. You can add the 'category' column by right clicking any column and then selecting 'View Settings'---> 'columns' and then adding category to the list on the right.
This can also be done in the 'tags' section of the ribbon if you open the message completely, however I use 'preview' so instead opening the message, I just right click the message, it's merely a preference and doesn't have to be done the first way mentioned.
Also, you can 'flag' messages by right clicking them, something else to consider.
NOTICE: These instructions are for Outlook 2013. Though they should be very similar in 2007/2016
Which version of Outlook is in question? – Ƭᴇcʜιᴇ007 – 2017-05-12T19:09:01.620