Actually, the Finder solution did not work for me, but here's what did:
Quit Mail (for safety's sake).
Open Terminal (it's in Utilities folder usually, but since I updated to ML it's in a folder called Other for some reason)
Once Terminal is open, you'll want to login as ROOT. You do this as follows:
Type
sudo -i
Then hit Enter/Return. You'll be promoted for your system password. Hopefully you'll remember it. Enter your password then hit Enter/Return.
You'll then be at what's known as a root prompt.
At this point BE VERY CAREFUL. You have the ability at this point to completely destroy your machine beyond repair. Only type what I list below:
To find the folder that contains the email message you'll need to type the following:
find . -name "218130.emlx"
Hit Enter/Return
This will take a minute or two but what should appear in the list of other items that appear is something along the lines of the following (it won't be exactly this but will look LIKE this) I've replaced some personally identifying info:
./Users/yourname/Library/Mail/V2/POP-youremailaddress@yourmailserver/INBOX.mbox/ 0355DF0D-5E99-4798-B79E-48D71E68AF34/Data/3/2/Messages/23219.emlx
This line describes the location of the offending email. You know what to put yourself into this directory:
cd /Users/yourname/Library/Mail/V2/POP-youremailaddress@yourmailserver/INBOX.mbox/0 355DF0D-5E99-4798-B79E-48D71E68AF34/Data/3/2/Messages/
Hit Enter/Return
Notice, I left of the name of the actual email address. You'll need to be sure you type the location EXACTLY or this won't work. You want to be in the Messages folder. You'll know you're there because your Terminal prompt will look something like this:
Your Name - iMac:Messages
Then just to be sure you're in the right place, type
ls
Hit Enter/Return
You should then see something like this:
iMac:Messages root# ls
23013.emlx 23096.emlx 23100.emlx 23156.emlx 23210.emlx 23213.emlx 218130.emlx
You'll see the offending message. Now, you delete ONLY this message. Type:
rm -f 218130.emlx
That's RM at the start above. You'll need to type it in lower case. Be sure that's all you type.
Hit Enter/Return
You'll should be disappointed at the results because it will look like nothing happened. You can hit ls and Enter/Return one more time and the offending file should be gone.
EXIT TERMINAL. DO NOT TYPE ANYTHING ELSE. DO NOT "POKE AROUND". THIS IS NOT THE PLACE TO EXPLORE. SERIOUS SYSTEM DAMAGE CAN BE CAUSED FROM HERE. EXIT TERMINAL NOW.
Now re-open Mail - the message will still appear to be in there, but magically, you can delete it. you can also delete it from your Trash for good measure.