For years this was the way to EXPLOIT security holes in IE/OE. Don't do that!
Why? I can craft HTML email that will log that you previewed my spam and will note that it's a good address for more spam. And this is just the beginning of problems with the preview pane. Next up is that "scripts" can run in the preview and with preview on I can (still!) crash OE. This is still too easy to do and annoy the heck out of nonbeleivers.
Lastly, if you get such an email, it may be impossible to delete that email, so I must reveal how to delete it. To delete that killer email, select another message to delete, hold down the control key and click on the bad email. Let go of the control key and then tap delete to finish off both emails.
After SP2 I now get nothing in the preview pane in outlook express. I am running XP Home on a Compaq with a 2.4 gig processor