It should go to the Outbox when you try to send it, but then go on to the
Sent Items folder when it actually gets sent.  If it's still in the Outbox,
there
may be a problem with that message meaning that you need to either
move it to the Drafts folder or delete it.

If it refuses to do either, download and install this hotfix, 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 you have a 32-bit version
of Vista or a 64-bit version, try the hotfix for the 32-bit version first.
Certain common antivirus programs, such as most of those from
Norton or McAfee, tend to cause stuck messages and other problems
in Windows Mail, although seldom immediately, so if you have such a
program, remember where to find the hotfix and hope it will install
again if you need it again.  A recent version of the Trend antivirus
program also causes assorted problems in Windows Mail.

The Vista SP1 update includes this hotfix, but takes longer to install.