If you are added to a shared mailbox, you can access it in Outlook just like your personal mail.
Scroll down the left hand panel and you'll find the shared mailboxes you have access to.
You can click the > to the left of the email name to expand it and access the folders.
Marking as favourite
You can right click on the inbox and select 'Add to Favorites' which will promote it to the top of the left hand list.
Making it much easier to find and monitor for unread messages