There are a couple of situations which may cause Outlook to download duplicate messages:

1. Outlook Downloads Messages from a POP3 Server Twice
http://support.microsoft.com/default.aspx?scid=kb;en-us;292249

2. Mail Retrieval Problems Occur When You Receive POP Mail
http://support.microsoft.com/default.aspx?scid=kb;en-us;317945

3. Password Prompt, Duplicate Messages Appear If Outlook Profile Has Two POP3 Accounts
http://support.microsoft.com/default.aspx?scid=kb;en-us;284404&Product=ol2002

4. POP3 Headers Are Duplicated 
http://support.microsoft.com/default.aspx?scid=kb;en-us;289942&Product=ol2002

5. You are Using Anti-Virus Software
Many anti-virus programs can cause this issue as well. If the message is large, the software causes a 'timeout'. As a result you recieve the message over and over. 

How can I stop this situation? 
The easiest and fastest solution to this problem is to log-in to the mail server and delete your mail message that is causing the problem - or all of them for a fresh start. (NOTE: make sure that you have downloaded your messages first) 


Other things to prevent duplicate emails: 
1. Increase your server timeout settings to 10 minutes:
Tools|E-mail accounts
View or change existing e-mail accounts
Select the account corresponding to your account
Click the Change button.
E-mail Accounts
More Settings
Internet E-mail Settings
Outgoing Server
My outgoing server (SMTP) requires authentication
Use same settings as my incoming mail server
Advanced
Outgoing server (SMTP): 26
This server requires a secure connection (SSL)
Server Timeouts (Increase from 1 minute to 10 minutes)

2. Configure Outlook so as not to check e-mail more frequently than ten minutes.

3. Configure Outlook to download complete Item including attachments.
Tools|Send/Receive settings
Define Send/Receive groups.
Click to select the group name, and then click Edit.
Under Accounts, click to select the POP3 account.
Download complete Item including attachments.