Outlook express is a mail client. It talks to a mail server (typically run by your ISP). It's this mail server which has your mailbox and outlook express downloads the mail from that mail server.
By the time you see the mail in OE the mail server has already accepted the mail on your behalf. You cannot truly bounce the mail at that point it's already been accepted by your ISP as being for you.
To truely reject the mail it has to be done at the server
"Are you tired of getting forwarded e-mails with large attachments that take ages to download? Are you scared of getting an email virus? Why not delete the email directly off the server so you don't have to download it."