In my opinion, AOL's tendency to regard all its users as 10-year old Americans, has resulted in its e-mail facilities being pretty basic.
Unless things have radically improved since I last used AOL in the first half of 2002, all you are able to do is view and compose your messages online, since users aren't trusted to be able to handle anything as relatively complex as Outlook Express.
I have seen a couple workarounds for OE alluded to, but have long since lost those URLs I'm afraid.
Like I said, it's good for kids.