The option to access Message Options in Outlook 2010 has been removed from the context (right click) menu and also doesn't exist in Outlook 2013 but there are alternative ways to access the dialog still and see the Internet headers of that message.
By opening the message first
If you open the message in its own window (via a double click), then you can access the Message Options of the individual email in the following way:
File-> Info-> button: Properties
By leaving the message closed
If you do not want to open the message first, but want to access the Message Options dialog directly from within the main Outlook window, then you can add the Message Options command to your Quick Access Toolbar;
The option is now added to the Quick Access Toolbar at the top of your Outlook window and view the Internet headers of a message without needing to open it first.