Don't worry, you are not alone, I ran into this problem many times !
Here is the simplest solution for Outlook 2007 :
Open any message
Right-click on the Quick Access Toolbar (top left)/Customize Quick Access Toolbar...
In "Choose commands from:", select "All commands"
Select "Message options..." and click "Add >>"
Et voilà! Now you have a new button to access the message headers for any message, even attached ones !
Thanks, Greeny! That works!
When I got it set up, I played the Final Fantasy victory music in my head.
You know, when you prove yourself an expert in spam with a blog like this, you're allowed to have a few "brain fart" moments. ;)
The nice thing about Office (and Vista) is that the Help and searching functions actually work. I had to use Help to find this feature not that long ago.