First check the obvious. While viewing the Outbox, click View --> Current View and be sure it is set to "Show All Messages". Also verify that "Show replies to my messages" is not checked. If you then see the unsent message you can delete it normally. You should then click File --> Folder --> Compact.

If the Current View setting is correct, then the "Outbox.dbx" file has been damaged. This can be caused by antivirus programs scanning outgoing email. This scan is not necessary to protect your computer if you still have antivirus system scan running in the background, so disable all email scanning to prevent future damage.  To repair the Outbox, close Outlook Express and delete "Outbox.dbx" in your store folder. A new Outbox will be created automatically when you re-open Outlook Express.