The first thing you should try is setting Outlook offline using the File, Offline menu. Wait about 5 minutes or so before trying to delete the stuck message. Or, close Outlook after setting it offline and reopen.
Offline mode is not supported in older versions of Outlook but disabling the network card will have the same effect. Either disable the card in Windows Control Panel, under Networking, or disconnect the network cable or turn off wireless card. Wait a few minutes for Outlook to complain about the lack of network access, then delete the message.
