First off I (and Microsoft) recommend an upgrade to Windows Live mail - it’s designed to replace Vista Mail and works much better. Free from get.live.com. It still may have trouble deleting those messages. Stuck messages like that usually mean a corrupt message index.

Here’s how you rebuild the Mail message store (direct from Microsoft http://support.microsoft.com/kb/941090)

Rebuild the message store of Windows Mail

1. Click Start, and then type the location of messages into the Start Search box. To confirm the location of messages, follow these steps:
a. Start Windows Mail.
b. Click Tools, and then click Options.
c. In the Option dialog box, click the Advanced tab, and then click the Maintenance button.
d. In the Maintenance dialog box, click the Store Folder button.
e. In the Store Location dialog box, right-click Your personal message store is located in the following folder, and then click Select All.
f. When you select the strings, right-click Your personal message store is located in the following folder, and then click Copy.
g. Click Cancel or Close to close all the dialog boxes.
h. Close Windows Mail.

2. Right-click the Start Search box, and click Paste and then press ENTER.
3. In the opened folder, right-click the WindowsMail.MSMessageStore file, and then press DELETE.
4. Open the Backup folder and the New folder.
5. Press CTRL+A to select all files, and then press DELETE.
6. Close all folders.
7. Start Windows Mail to rebuild the message store database.

After you restart Windows Mail, the message store file is successfully repaired.