Yeah I think PGP is actually a third-party add-on; I had to roll a version for a bank back in the day on the old ColdFusion platform.

I believe Outlook uses PKI - S/MIME, which means you have to install the proper certificates that contain the Public Key to send, and have your private key installed to receive, encrypted e-mail using Outlook.  I'm not sure you have to enter an additional code/key when you receive the e-mails (unless you've added a password to your personal folders), although you do have to have the proper certificates installed.