does it happen on *any* message, or just one specific one? if it is just a specific message (and we've seen this happen before.....) then there are a couple ways to get rid of it:
- select a different message you want to delete, hold the apple/command key and select the problem message....then delete.
- try opening mail prefs, go into the "view" section and uncheck the "display images and embedded objects in html messages" option...then try deleting the message.