Because I find that Outlook's internal search is sometimes unreliable, I occasionally use the Mac's spotlight search to find a particular mail message. This allows me to locate the message, which I can open, but I cannot find a way to determine the folder in which the message is stored. (I think my question is different from "Outlook for Mac 2011: How to find the folder where a message is stored?" because the user there was using Outlook's internal search and getting a list of emails in an Outlook table of messages. My problem is that my external search only goes into Outlook once I have opened the single message I am looking for, and so there is no table listing all messages found according to the search criteria, with columns that allow a "folder" column to be displayed)
The internal search for Outlook:Mac 2011 is Spotlight search.
When you search from Spotlight outside of Outlook:Mac, and you select a result, that email is opened in a new window. The title of that window is "subject - folder". This isn't perfect, since it only tells you the name of the parent folder. If you have a deep folder structure, or if you reuse folder names, you'll have to figure out where that particular folder lives.