Let's attack it from a different angle.
Place Outlook 2003 in Work Offline mode.
In Outlook 2003,
File > New > Outlook Data File > OK
Name the new .pst file: Test.pst
Click: OK
In the Create Microsoft Personal Folders window that appears.
Key in: Test in the Name field.
Click: OK
A new folder named Test will appear in Outlook 2003
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Now we want to make the new Test folder, the new Default delivery location.
Tools > E-Mail Accounts > View or change existing e-mail accounts > Next
At the bottom of the E-Mail Accounts window, click the drop down arrow for: Deliver new e-mail to the following location:
Select: Test
Click: Finish
Close Outlook 2003, wait a few seconds for the Outlook.exe process to terminate, then restart Outlook 2003.
The new Test folder will now be the Default delivery location and have an Inbox and Outbox. If Outlook 2003 receives any messages they will be delivered to the new Test Inbox.
Access the Outbox in the original Personal Folders and attempt to delete the message.
Let us know if that works or not.