Rule for Multiple mailboxes-Exchange 5.5

I currently have 4 exchange mailboxes that I need to setup a rule for; however, I understand rule settingS can only be configured using the Outlook client. Do I need to configure the rule in outlook on the actual server, or can I setup the rule via my personal outlook client which is configured to monitor the 4 mailboxes?

Scenario: I have Microsoft Outlook 2002 installed, and I have the 4 mailboxes,including 2 others and my own configured for my personal profile. When I applied the rule, it indicated the rule is applied at the exchange level, and also it appears as if the rule is applied to all of the mailboxes I configured my client with.

Any experts who can shed some light on this?