Outlook express doesn't actually have a spell checker, the option is only
activated if microsoft office is installed along with outlook express. At
least that's my understanding, but here is another proposed fix
Neither Windows XP, nor any other version of Windows, has ever come with a
Spell Checking facility. Outlook Express uses the spell checker that comes
with Microsoft Word, (or another Microsoft Office program) if you have it
installed.
If you don't have Word or Office installed, you probably don't have a spell
checker. However there are several downloadable freeware/shareware
alternative spell checkers that work with Outlook Express and Outlook. Since
I have no personal experience with any of these, I'll let someone else
recommend one.