Outlook.com's email aliases are handy extensions of your core email account and can be used for outbound account consolidation or inbound mail categorization. Sounds complicated and hard to set up, but it's not. Paul Thurrott has some tips on setting it up and answers any questions you may have.
But if you're looking to create a cheap and easy inbound-only alias, or want an alias tied to your custom domain name, here's a quick tip: Outlook.com also supports Gmail's "+" aliasing.
For example, mail sent to email@example.com lands in my inbox at firstname.lastname@example.org without any additional configuration. It just works. And you can of course set up rules to put these emails into separate folders or delete on sight. (You can replace everything after the + with anything you'd like, as long as it's well formed.)