Actually you can delete email without opening it in Mail in at least two different ways:
1. (this takes a little practice) Don't select the suspicious message, just click on it and DON'T RELEASE, and smoothly drag it to Mail's trash, THEN release. This needs to be a smooth motion.
2. If you can't manage the method above, just close the preview window (double-click on the bar separating the preview from the mail list), then delete away. You can restore the previous setting of that "bar" by double-clicking on it again.