Those out there that use(ed) Outlook Express should know that there is no such thing in Windows 7. Also true in Vista, where "Windows Mail" was released.
Yet another major change for Windows 7: the new (free) email client is called "Windows Live Mail" and the most annoying new "Feature" is the missing menus.
To see the old menu you are looking for; hit the "ALT" key by itself. Then, the menu will magically appear.
Mystery solved!