I am having this same issue. Using Outlook 2003 on Windows XP SP3.
When I open the GAL and highlight a name and right-click, I can only see an
option for "Properties" where on my previous laptop (same build, same
software) I could also see "Add to Contacts". I don't seem to have the "Add
to Contacts" option anywhere - no buttons, no context menu items.
I have tried adding an Outlook Address Book using the Tools option and
restarting Outlook, however this has not fixed it.