This is the way Microsoft decribes and it's pretty much the same as described above. The above way is how I do it.
http://support.microsoft.com/kb/291626You have to set the permissions of the second mailbox. In this method you are logged on as the owner of the second mailbox first, thus you are allowed to grant access of others to the mailbox. Then you log in as yourself and add the second mailbox to your list of exchange mailboxes in Outlook.
Hope this helps.