Thanks to Mike Gibson for helping me find a solution for my son, who has a habit of accidentally closing Outlook.
Recap from September 7: My son uses Exchange server and recently upgraded to Outlook 2000. In Outlook 98, he kept an address-less message in the Outbox so that when he accidentally clicked on the X in the upper right, he would get a dialog that allowed him to cancel the close. Unfortunately, Outlook 2000- Corp mode didn't give him the warning.
Mike discovered the warning was present when other account types were in the profile, so my son added an Internet mail account, using made up mail server names. He removed the check from the account in Tools, Options, Mail Services tab to prevent Outlook from complaining when it can't find the mail server. Now when he clicks the X, Outlook asks if he wants to exit.