Which ISP are you with? Tiscali is especially poor in this field of unwanted e-mails.
Quite a few of these type of e-mails are received because of personal details you post on various websites.
The best thing to do is to disable the Preview Pane permanently, highlight the unwanted e-mail(s) and then use the Delete button at the top of the window to remove them.
Disabling OE's Preview Pane drastically minimises the possibility of allowing a virus infected e-mail to do its dirty work.