In older versions of Outlook, you could right click on a contact and choose "New Appointment with contact" to create an appointment linked to the contact. This command was removed from Outlook 2007 and up but you can still create an appointment with a contact using the Meeting with contact command then canceling the meeting.
In Outlook 2010, select the contact(s) and either click Meeting in the Communicate chunk or right click and choose Create, Meeting.
In Outlook 2007, select the contact and right click and choose Create, Meeting. To create a meeting with multiple contacts, go to Actions > Create > New meeting request with contact.
After the meeting form opens, click the Cancel Invitation button to drop back to an appointment form.
If you have the Contact linking field visible, you'll see the contacts are linked to the item.
While it is not necessary to show the contact linking field (the contacts are linked regardless) you can enable it in File, Options, Contacts, Show Contacts linked to the current item if you are using Outlook 2010 or newer, or Tools, Options, Contact options in Outlook 2007.