Outlook 2010

 In Outlook 2010, you need to open the message and either go to the Tags section of the ribbon or go to File, Properties.

Click on the Expand button (highlighted in yellow) in the lower right corner to show the Message options dialog.

You can also add the Message options command to the QAT so you don't need to open the message (and can use a Ctrl+n shortcut).

Outlook 2003/2007

Method #1: Right-click the message in the folder view, then choose Options.

Method #2: In an open message, choose View | Options. 

With either method, you'll see the Internet headers portion of the Message Options dialog.

Outlook 2003 gives you the option of adding the SaveAllMIMENotJustHeaders registry key to HKCU\Software\Microsoft\Office\11.0\Outlook\Options\Mail to include the message source in the header.

Outlook 2000, Outlook 2002

Method #1: Right-click the message in the folder view, then choose Options.

Method #2: In an open message, choose View | Options. 

With either method, you'll see the Internet headers portion of the Message Options dialog.

Outlook 98

In an open message, choose View | Options. Look at the Internet headers portion of the Message Options dialog.

Outlook 97

Open any message and look for Internet headers on the Options tab. If you don't see the Options tab, choose View | Message Header to display it.

With the older Internet Mail service: Select a message in the folder view, or open a message, then choose File | Properties, and switch to the Internet tab. If you don't see the Internet tab, choose Tools | Options from the main Outlook menu. Switch to the General tab, and click the Add-In Manager button. Click Add, and select the Minet.ecf. Close all the dialog boxes. You should now be able to view the Internet tab.