The reason it will not be in the sent folder is, it failed to send.
If it failed to send, then you will see the Outbox icon. 'Pending' would be a more descriptive name.
When it eventually sends, the Outbox will not show in the Mail app interface.
Until it is sent it will stay stuck in the Outbox.
If it refuses to send, you can manually delete it in Finder, at the location ~/Library/Mail/Mailboxes/Outbox.mbox
Close Mail first, before you search for that email using the Finder.
Mail version 4.6. Mac OS version 10.6.8