I assume that these messages are in your Outbox. If so, it seems that your Outbox file has become corrupted. Fortunately, Outlook Express automatically creates a new (empty) Outbox if it can't find an existing file, so all you have to do is to delete your Outbox. Here's how:
Close Outlook Express. Go to Start > Search. Run a search for the file Outbox.dbx. (If it doesn't show up, you might have to change your search options to include 'show hidden files'). Right click on the file and select 'Delete'. Restart your PC. (I'm not actually sure that you have to do that, but I always do). Open Outlook Express and you'll find that you've now got an empty Outbox.
Chris