I may be corrected, but I think, until 2011, Live Mail was in Beta, Hence the constant update reminders.
I'm not 100% clear from your op, but I understand you did eventually install 2011 but did not like it?
You can, of course, only install the Mail portion of Live essentials, from the install options.
Maybe a useful tip. I have a "spare" small partition on my computer. In here I have my mailbox. When I installed Windows live, in the advanced options for the mail accounts, I pointed to this Mailbox.
In the event of a reinstall or recovery, of my main partition, the maibox and its entire contents remain intact, and I can quickly reattach it to my mail program
On your last query. If it does not appear in any of those boxes, from where are you trying to delete it?
If you expand the navigation pane, you should see an item "OUTBOX". Your unsent mail will be there.
fwiw. Many firewalls, antivirus etc, as you probably know, will catch .exes, as they are vulnerable. The easiest way to overcome this is to change the extension to something harmless (jpg), and tell the recepient in the mail text to change it back again.