I was searching for this also and found out it's very easy to do in Outlook

From Microsoft:
NOTE By default, Contacts linking does not appear on the message, contacts, and tasks windows. To turn on Contact linking, on the Task tab, in the Actions group, click Save & Close. On the main Outlook window, on the Tools menu, click Options. On the Preferences tab, click Contact Options, and then on the Contact Options dialog box under Contact Linking, select the Show Contact Linking on all Forms check box. Open your task to continue with this procedure.

Then you do this:
If your task involves a person or organization in your Contacts, you can create a quick link to the contact, by clicking Contacts at the bottom of the window, and then selecting an entry. Click OK to close the Select Contacts dialog box.

All of your tasks will show up in that contact's activities.