In the Messages tab, click on Condition. Tick the box next to In Which I and, in the menu to the right, select the option I am listed with other recipients on the CC line. Close the windows by clicking OK.
The new version of Outlook supports this highlighting feature, too. First, go to View > View Settings and then select Mail on the left-hand side.
In the second column, select Conditional Formatting and click Add Rule in the right-hand pane. Enter CC email as the name for the new rule and, in the Condition menu, select the option I am listed in the CC field. Nest, click on Select Color and pick your favorite hue. Confirm by clicking OK and Save, then close the window.