It has been a long time since I worked with Outlook Express. That being said, I am assuming that the program is working fine, etc.
Here is a link explaining why the file remains large, even after most of the contents are deleted. A couple of fixes are listed there, the most conventional being to compress the file. I do not know whether running compression allows you to do so only on individual folders-I doubt it. One poster suggests an alternative solution in lieu of compression as well.
I run Outlook (not Outlook Express), and I have compressed my folders many times without issue. Depending on size, it may take a while and the computer may become somewhat non-responsive in the process. Give it time.
As always, just as a precaution, back up your files first. Always be able to recover things.