There is a limit on how many rules you can create in Outlook. This limit is actually based on how much space the rules take up. The error message says “"There is not enough space on the Microsoft Exchange Server to store all of your rules", even though there is plenty of space on the drive, in the Exchange databases, etc. According to http://support.microsoft.com/kb/241325, this is a limitation and applies to Exchange 5.0 through Exchange 2003 and Outlook 97 through Outlook 2002. It looks like Exchange 2007 and Outlook 2007 are not affected. That article has a few (virtually useless) pointers on how reduce the amount of space the rules take up.
Note: There is a followup to this post that provides more details and instructions on how to increase the number of rules allowed in Exchange 2007.