Generally, it depends on what the rule does and how you set it up which determines if it is server side or not. Outlook will tell you though.
If it is a shared mailbox, you will need to be logged into that mailbox when you set the rule i.e. you need a mail profile that opens this mailbox as the primary.
From here: http://office.microsoft.com/en-us/outlook-help/manage-email-messages-by-using-rules-HA010355682.aspx
Server-based rules versus client-only rules
There are two types of rules in Outlook — server-based and client-only.
Server-based rules If you are using a Microsoft Exchange Server account, some rules that you create are server-based rules. These rules run on your mailbox on the Exchange mail server, even when Outlook isn’t running on your computer. Server-based rules must apply to messages when they are first delivered to your Inbox, and the rules must be able to run until they are completed on the server. For example, a rule that specifies that a message be printed can’t run until it is completed on the server. If a rule can’t be applied on the server, it is applied when you start Outlook and becomes a client-only rule.
Client-only rules Client-only rules are rules that run only on your computer. These are rules that can’t run until they are completed on the server, such as specifying to print certain messages. Client-only rules can only run when Outlook is running.
If your list of rules contains both kinds of rules, the server-based rules are applied first, followed by the client-only rules.