Did you reboot after unchecking the “break apart” option? If that is not the answer, try creating a new Outbox and Sent Items.
Do the following for the Outbox, and Sent Items after you move any messages you wish to save to a local folder you create.
Tools | Options | Maintenance | Store Folder will reveal the location of your Outlook Express files. Write the location down and navigate to it in Windows Explorer or, copy and paste it into Start | Run.
In WinXP, the OE user files (DBX and WAB) are by default marked as hidden. To view these files in Windows Explorer, you must enable Show Hidden Files and Folders under Start | Control Panel | Folder Options Icon | View, or in Windows Explorer | Tools | Folder Options | View.
With OE closed, find the Outbox.dbx and Sent Items.dbx file and delete them. New files will be created automatically when you open OE.