Being a Desktop Support Specialist.. I know this one...
Spell Check is not a feature of Outlook express, it is not even a feature opf Outlook 2000, 2002 or 2003..
Spell Check gets installed with Office..
So, if you do not have Office Installed on the PC then you will not have Spell check in any version of Outlook, but the option will be visable, which is where the confusion comes from..
I belive the app in offices that installs Spell Check is MS Word, but not sure..
If you have Office, then try to "Add components" and see if Spell Check or MS Word is available from the Office CD..
Hope this helps..