It's the app that has a blue icon with a white "O" over an envelope. Outlook can be found under the Start menu on Windows. On Mac, open The Finder, click "Applications" and double-click Outlook. The Mail icon is the button that resembles an envelope at the bottom of the navigation pane to the left. An email with a distribution list will have the paperclip icon next to it to indicate that it has an attachment. The subject should indicate that a distribution list is contained in the email. All attachments are listed below the email subject at the top of the email. Double-clicking a distribution list will display a list of all the contacts in the distribution list. It's the first tab in the upper-right corner of the popup with the distribution list. This will save the distribution list to your contacts and close the popup window.

Summary:
Open Outlook. Click the Mail icon. Double-click an email with a distribution list. Double-click the distribution list. Click Save & Close.