Such problems are often due to interference from an antivirus program.  What
if any antivirus programs do you have?

The copy of this message on your computer  may be corrupted beyond recovery,
but for a temporary fix of your ability to delete it, 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 contains this hotfix and more, but takes longer to install.

If the hotfix or update doesn't delete the message, you might then want to
see if it's now readable before you decide whether to delete it.

Some, but not all, email servers keep copies of old messages after you
download them.  To check for this, ask your email provider whether they
provide a webmail interface to look at your mail, and if so, use it.

This problem may make you want to try some of the methods available
for backing up your mail database, if you aren't already using some method
of backing up your whole disk.

The copy on your computer may be corrupted beyond recovery.
However, before you assume that, download and install this hotfix,
and see if it helps.

http://support.microsoft.com/default.aspx/kb/941090

Although it's labelled as for messages stuck in the Outbox, it also works
in other folders.

The cause of such problems is often interference from an antivirus program,
antispyware program, or antispam program, so what if any of those kinds
of programs do you have?

You might check if your email provider allows you to log on using webmail
to check if a copy of the message is still there.