Do an Explorer search for the file:
When you find it, delete it. Reopen OE and see if you can do what you are trying to do. A corrupt folders.dbx file can cause problems. OE will create a new one when it's opened again.
Since you didn't share exactly what happens when you try to delete, or what folders/emails are stuck, this is all I can suggest.
I was using Outlook Express for my email, but then it stopped working the way is should. The program will not let me delete email. I've tried sending it to other areas of OE6, but still won't let me delete. I'm using XP home, OE 6 version,6.00.2900.5512. Its a Systemax Computer...