Such problems are often due to interference from an antivirus program.
What if any antivirus programs do you have, and have you ever had a
Norton or McAfee antivirus program on that computer?

Click on the Outbox, and move any messages you find there to the
Drafts folder, or delete them.  If any refuse 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.
The Vista SP1 update includes this hotfix and more, but takes longer
to install.