I have started to use the junk email function in Outlook XP (2002) and
it seems to be starting to help. The only problem is I have to do one
at a time from my inbox. Is there a way to highlight several emails in
my inbox and send all of the addresses to my junk email list at once?

I don't think there's a way to add multiple addresses at once. 
Outlook XP's junk mail controls really aren't very good, though. 
Adding email addresses to a 'junk senders' list won't help much
because spammers change email addresses too often.  A better solution
for Outlook XP is to download and install the Outlook plugin version
of Spambayes, available for free at http://spambayes.sourceforge.net/.
 It's a bayesian filter.  You'll need to spend some time training it
(telling it what you think is junk and what isn't), but after a few
days of training it's very good.