I don't know which version of WLM I am using but this is what it looks like:
I have found that if I click on to the icon to the left of the message tab I get a menu with:
New, Save, Print, Properties and Close options. Is this the substitute for the File menu, do you think?
So I will use this when the message is fully open and use right clicking on the left of the header when not, as suggested by MK.