When adding a shared mailbox in Outlook 2010, the sent items by default go into the sent items folder of the main user, not the shared mailbox.
In order to maintain correct functionality, use multiple exchange accounts - go in to control panel - mail.
Add the shared mailbox as an additional mailbox.
For more info: http://blogs.office.com/b/microsoft-outlook/archive/2009/08/25/multiple-exchange-accounts-in-outlook-2010.aspx
For Outlook 2007, this can be handled with a hotfix and registry entry: (http://support.microsoft.com/kb/972148), and adding the shared mailbox under Account options, advanced tab and open additional mailboxes.
