Frank Saunders MS-MVP IE said:
Select the message and click the Delete icon.
Or, select the message and press the Delete key.
Or, right click the message and select Delete.
If it refuses to delete, download and install this fix, with Windows Mail
not running:
http://support.microsoft.com/default.aspx/kb/941090
Although it's labelled as for mail stuck in the Outbox, it also works in
other folders. If you don't know whether to use the 32-bit version or
the 64-bit version, try the 32-bit version first. Certain common
antivirus programs, such as most of those from Norton or McAfee,
or a recent one from Trend, tend to cause such problems, although
seldom immediately, so if you have such a program, remember
where to find the fix - you are likely to need it again.