No, those arrow buttons aren't what I'm talking about. I don't know how else to ask this question, so I'll keep researching it on my own. Thx, anyway.
Short answer: You can't.
There is no "Next Message" arrow icon in Mac Mail. If you open a message, the only way to get to the next message is to open it from the main Mail window. Clearly, you can see the email in the "preview" pane of the Mail program (like Outlook) - but that isn't really reading it.
Mac Mail isn't a replacement for Outlook - it just has better access to the Exchange Server than the old version of Mail (from Leopard).
It is what it is supposed to be - a simple, free, email program that uses the MAPI interface to Exchange. If you don't use an Exchange Server, you might want to look around for an POP3 email client that works more like Outlook for the Mac.
If you use it on an Exchange Server, this is only one of a number of "differences" you'll uncover. For one: Try to make a rule. This one will kill you. They are local to the Mac and have no relationship to the rules you created and stored on the Exchange Server.