The method depends on the version of Outlook and whether you're connecting to an Internet account or Microsoft Exchange Server.
If you synchronize offline folders, there are three ways to avoid downloading messages over a certain size:
Method #1: While working online, create Large Messages folder. Then, create a Rules Wizard rule to move messages to that folder if they exceed a certain size. This will operate as a server-side rule, which means that when you synchronize the Inbox, Outlook will not download the large items, because they will have been moved to the Large Messages folder.
Method #2 (Outlook 98 and 2000 only): On the Properties of the Inbox folder, on the Synchronization tab, click Filter. On the More Choices tab of the Filter dialog, you can set a maximum Size. With this method, large items remain in your Inbox, but are not downloaded to your offline folders.
Method #3 (Outlook 2000 only): While working online, choose Tools | Synchronize | Offline Folders Settings, then click Download Options. Check the box for Don't download messages larger than xx KB and set the maximum size. This creates a Rules Wizard rule to move items into a Large Messages subfolder under your Inbox, but it runs only when you synchronize, not as a server-based rule. (I don't quite understand this approach myself.) The advantage over Method #1 is that you get a notification message telling you what large messages are waiting for you.
Outlook 2000 or 98 (IMO)
In Internet Mail Only mode, Outlook provides a setting on the Tools | Options | Mail Delivery tab for Don't download messages larger than xx kb.
Outlook 2000 or 98 (CW) and Outlook 97
Use Tools | Remote Mail in these configurations to download message headers, check the size, then mark only those you want to download to your Inbox. You can leave the larger ones unmarked, which means they'll stay on the server.