Outlook Express (free in XP) and Windows Mail (free in Vista) are both very similar.
They are a "basic" email client to let you send and receive emails.
They can also both work with "newsgroups" (discussion forums) which you CANT do in the version of Outlook that comes with Office.
However the version of Outlook that comes with Office has MORE features than the version of Outlook Express / Windows Mail supplied free with Windows.
It has a calendar for example (although there is a free calendar in Vista but not in XP). You can also do an "out of office" message.
The Outlook that is part of Office also has function to allow it to be used in a large company and to connect to a company email server (called an Exchange server) which you cant do in Outlook Express or Windows Mail.
He is a list of the difference between the free Outlook Express and the Outlook that is part of Office. Scroll to the bottom for a simple tick list.
(This list is slightly old, and although this list is about Outlook Express most of the things also apply to Windows Mail).
http://office.microsoft.com/en-us/outlook/HA01 1169051033.aspx