Download the latest Nokia PC Suite.
Not all Nokia phones support all features of the Nokia PC Suite, check your manual.
Quote from the Nokia Help file:
"In the Outlook profile selection window, select from the drop-down list the Outlook profile that you want to synchronise with a phone. Alternatively, you can press the Select folders button if you need to browse for the Outlook folders to be used."
Microsoft Outlook folder selection" link in the help file.