Custom actions add functionality to the Rules Wizard in Microsoft Outlook by performing additional actions on messages.
Custom actions are not included with Microsoft Outlook, but are add-ons in the form of .dll's created with C++ that add new capabilities to Outlook rules. Examples include printing automatically or adding a recipient to your address book.
There are very few custom actions available (in part because they were written in C++). Two were released publicly; more were written for a specific use within corporations.
See Run a Script rules for an alternative to Custom Actions.