This usually indicates interference from an antivirus program. Which
if any such programs do you have?
Download and install this fix, with Windows Mail not running:
http://support.microsoft.com/default.aspx/kb/941090
Although it's labelled as for mail stuck in the Outbox, it also works in
other folders. If you don't know whether to use the 32-bit version or
the 64-bit version, try the 32-bit version first. Certain common
antivirus programs, such as most of those from Norton or McAfee,
or a recent one from Trend, tend to cause such problems, although
seldom immediately, so if you have such a program, remember
where to find the fix - you are likely to need it again.