I need to re-open this subject because I am experiencing the same situation.
We run classes where we send out a mass email to all the students in our
classes with all the students' email addresses listed in the "To:" field.
In the past, we've given them these instructions to have them build their
contacts list easily:

Aloha,
    The following instructions will assist you in adding each student's email
address to your contact list.  You will notice that you may get 2-3 copies of
this message, because we've included your individual student account and  the
Seminar and Class 2006 distribution lists. You may use any address depending
on your needs.

1. Double click on this e-mail to open it fully in a separate window.
2. Click on one of the addresses in the To: area. This will highlight the
address.
3. Click Edit, then click Select All.
4. Click Tools, click Add to Address Book, then click Everyone on To List.
5. Click the OK button. Continue clicking the OK button until all names and
addresses are added to your Contacts/Address Book.

This class session, we found that this feature just disappeared. We only get
the normal "Cut, Copy, Paste, Clear, Select All" menu items and no longer get
the "Add to Address Book..." item.

Any idea why it would disappear? These are normally configured laptops with
WinXP, Office 2003 Pro in stand-alone configurations. No exchange, address
services, and users are using Outlook Express (NOT Outlook).
Any help would be appreciated. Thanks!