OK, sorry, then.
I don't have Windows Mail.
I have, but don't use, Windows Live Mail. I'd hate to find an answer there
that doesn't work in Windows Mail.
Given that, in Live Mail I found Tools | Options | Read tab
Choose "Automatically expand grouped messages"
Just an aside: My preference would be the opposite of yours. Another
reader
I have used is MesNews. It can be configured to collapse the last thread
and expand the next one when you navigate to it. Fun