If you're using Outlook Express, the very first post (from NazNomad) above should provide the correct answer. Take another look at it. When you click on Options, you should be presented with a panel like this one:
http://www.dzinemaster.com/images/options.gif
The 'Send' tab is at the top.
Follow NazNomad's directions.
(If you find that there's already a tick alongside 'Save a copy of sent messages . . . ', click to remove it. Click 'Apply', click 'OK'. Close Outlook Express. Reboot your PC. Open Outlook Express again and go through the same procedure to put the tick back).
Chris