Newsgroup support in Outlook 2000 isn't that great. I started using it the other day (I dodn't want to change my Agent configuration).
If you really want to use it, click View -> Goto -> Newsgroups and you can set it all up in there.
Beware that it is a bloody awful interface.
If you select 6 messages, right click and shoose open, you get 6 new windows open.
There is no way (that I have found), to only download attachements from messages. This means you need to open each message, wait for it to download, right click the attachment, and choose Save As. There is a Combine and Save option for multi-part attachements though.
If you are downloading messages, and you switch to another group, all the messages you were downlaoding stop, and all the windows display a message along the lines of "Message no longer available, or you are out of disk space".
All in all, it's hopeless. But, if you really want to use it, you can see how to set it up here:
http://support.microsoft.com/support/kb/articles/Q195/8/79.ASP?LN=EN-US&SD=gn&FR=0