Select the message before it and after it and Shift+Delete. If you need the
one before and after, select them, Ctrl+C, V to make a copy of each before
you delete.
You can start Outlook in Safe Mode which disables the Reading Pane. Usually
this method allows you to select the message and delete it.
If not, see Diane's reply.
To start Outlook in Safe Mode;
Start-> Run; outlook.exe /safe