I don't know of any way to do this without editing the registry, so be extremely careful!
Close Outlook Express completely (make sure it is not simply minimised to the status bar/tray/notification area)
Start / Run / Type "regedit" (without the quotes) / Press Enter
Navigate to:
HKEY_CURRENT_USER\Identities\\Software\Microsoft\Outlook Express\6.0\Dont Show Dialogs
Find
Saved in Saved Items
Double-click it (or right-click / Modify), then modify the value from 1 to 0
Close the Registry Editor, restart OE and test
(Since you're new here, if it works don't forget to accept the answer!)