Normally on a Microsoft Exchange shared mailbox you will like to save your information on your personal mailbox, and the shared mailbox info in its mailbox (OWA does it like that, but no Outlook). I was surprise that this is not the default configuration of Outlook, and Microsoft has their reason which I don’t plan to cover here.
This is a known [issue, option] on Outlook 2007. Basically you will need to add these two entries in the registry. The first one is focus on the Sent Item, next one on Delete items.
You must add a DWORD = 1 value or update any value it already exists for the sent mails to go to its respective mailbox.
You must add a DWORD = 8 to stored items on your personal mailbox, or 4 to stores deleted items in the mailbox owner (Shared mailbox).
Note: both registries entries have a section [version] replaced this with 9.0 for Outlook 2000, 10.0 for 2002, 11.0 for 2003, 12.0 for 2007, etc.
Of course you can supply this info to you AD Admin, this way he send this registry to your AD machines through a GPO.