Simsy said about the preview pane. It's just showing you a preview of the e-mail. Follow their advice on how to close it. I never have it open, as that's a way viruses can get into your system really easily.
If you have the Preview Pane on then yes you have opened it when you click on it. Also some viruses will activate when viewed in the Preview Pane so even if you click on the e-mail to delete it the virus has been started.
Turn it off using View menu, Layout, Uncheck Show Preview Pane.