You can possibly check the originating IP address by following the instructions here:
http://www.whatismyip...to-trace-an-email.asp
(An IP address is a 'dotted quad', such as 80.168.172.182).
Then you can enter that address here to find out where (theoretically) that address is located. However my own current address is being reported by one system as 'London' and by another as 'Portsmouth'. Since I'm in Suffolk, it's far from precise!
(Click here to find your own IP address and see where it suggests that you're located. I doubt that it will be very accurate!
http://whatismyipaddress.com/ )
In theory such checks will at least identify the correct country but that assumes that the person sending the mail isn't trying to trick the system. I sometimes post on forums where my IP address appears alongside my posts. If I don't want people to see that I'm in the UK I'll simply route my internet traffic via a proxy server. (My mail often shows that I'm in Slovakia or, occasionally, in Brazil). If someone in Nigeria routes their traffic through a UK-based anonymous proxy server, their IP address will show that they're in this country.
Chris