Presuming ofcourse you have Micrsoft Outlook installed, the only other suggestion I can think of is Security,
When I ran this code on my machine, Outlook popped up saying that a script was tring to access its address book, should I allow it.
It may be possible that you have outlook set to block all script access, Check your security access.
And also if you are on an NT/Win2000 machine, check the secruity rights of your login account, make sure it is allowed to execute COM objects and the like. Can check this from Computer Management.