File>Work Offline. See if you can get it that way. If not, then:
Tools>Options>Maintenance>Store folder will reveal the location
of your Outlook Express files. Press the Tab key to highlight the
folder location, then Ctrl+C. Close OE, then Start>Run>Ctrl+V will
put the location in the box - Click OK and you'll see the OE files.
Otherwise, write the location down and navigate to it in Windows
Explorer.
In WindowsXP & 2K, the OE user files (DBX and WAB) are by default
marked as hidden. To view these files in Explorer, you must enable
Show Hidden Files and Folders under Start>Control Panel>Folder
Options>View.
With OE closed, find the DBX file for the folder in
question {Outbox.dbx} and delete it. A new one will be created
automatically when you open OE and the message will be gone forever.
Unrelated, but important:
Do not archive mail on default OE folders. They will eventually
become corrupted. Create your own user defined folders for storing
mail and move your mail to them. Empty Deleted Items folder
regularly.
After you are done, follow up by compacting your folders manually
while working *offline* and do it often.
File>Work Offline (or double click Working Online in the Status Bar).
File>Folder>Compact all folders.
In Tools>Options>Maintenance: Uncheck Compact messages in background
and leave it unchecked. {N/A if running XP/SP2}.
