If you are a user of Office 365 and want to simply set up forwarding for your own mailbox, you can do that by doing the following:

1. Log into Outlook Web App

2. In the top right corner of the OWA window, press the “Cogwheel”  button that will take you to Settings, and then choose Options:

3. From the Options page, where Account is selected in the left frame and My Account is selected in the middle. Click on the “Forward your email” link on the right:

4. Under the Forwarding section, type in the external email address that you want to forward your mail to and press the “Start Forwarding” button:

That is all!