Open a message, (which I presume from your post will open maximised)
Then click on the "restore" button, top right of the message, between the "-" and "+"
This should "restore" the message to "normal" mode, which can be dragged to the size you want.
THEN close the message.
Subsequent opening of messages should be at the same window size.
(forgive me if this dosn't work.... The PC I'm on at the moment I have Outlook on, not OE and the above is correct for Outlook. I have OE at home and I'm sure the same applies)