I'm using XP Home. When saving an email in 'Message format' within
one of my files, the envelope icon is too similar to the standard folder
icon. Can I change the Outlook envelope icon for something else -
what choices do I have and how can I do it so that
the new icon becomes the default icon?

Start - Run - explorer
Tools - Folder Options - File types Tab
Click on MSG and press the Advanced button.
Click on Change Icon...

These icons will be all the Outlook icons you have available.

There's also the icons in C:\WINDOWS\system32\SHELL32.dll,
as well as lots of other possible locations.

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f.h.
Microsoft Outlook MVP