Viewing Internet headers in Outlook is not the easiest thing to do....
Outlook doesn't have a View, Source option like you'll find in Outlook Express. It has View, Options which shows you the Internet header in a small text box, but it only includes the Internet header, not the full message source.

You need to go to View | Options then scroll through the header
to read it in a small text box. Alternately, you can select all, copy and paste
into notepad.
Among the third party utilities which provide better options for viewing the header is Pocketknife Peek. I highly recommend this utility if you need to view headers very often.
Note that headers are only available on messages received from Internet transports, not Exchange servers.
Using Outlook 2003 you can view the header and source together in the options dialog, if you edit a registry key. This works on mail downloaded *from Internet mail transports only*, not Exchange server mailboxes. However, if you access the mailbox using an Internet transport, you'll see the full source.
Do not attempt this unless you are comfortable editing the registry!
Open the registry editor and navigate to:
HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Outlook\Options\Mail
right click on the right pane and choose new DWORD:
Parameter: SaveAllMIMENotJustHeaders
Value: 1