In order for complete email and headers to be send to someone you must forward the email as an attachment rather than just inline text. Outlook Express and previous versions of Outlook allow you to "Forward As Attachment" by either right clicking on the message or opening the message and choosing that option from one of the menu's at the top. However in their infinite wisdom, Microsoft decided no one needed that option any more, so you now have to either save the file and then attach it to the email OR you can use this method which seems to work in all versions of Outlook (NOT OUTLOOK EXPRESS - it has "Forward As Attachment"):

1 - Create a new email message and type the email address to send it to
2 - minimize your new message window or move it out of the way
3 - click on the spam message and drag it to the new message window
4 - drop the spam message onto the Attachments Icon (normally a paper clip)

You should see the email message in the attachments list and can attach more spam or just send the email.

Special thanks to Cavin Greer