Yes - and on two different machines. One uses OE 6, the other Live Mail and they are both behaving the same. It is as if the message has been lifted from the server so that the header as no link with which to fetch the message.
I think we are resigned to emailing the senders and asking for the messages again!
It may also be a MS conspiracy to get us to stop using an old hotmail.com account so they can close it!