It's a known issue.  Try the following -- it seems to work for many:

To get the News command back, go back to the Programs tab in Control Panel |
Internet Options and change the default newsreader to Outlook Express.  If
OE prompts you to make it your default newsreader the next time you launch
it, clear the "Always perform this check..." box and then click the No
button.

You may need to reset the Menu Bar and/or restart Outlook and/or reboot your
machine in order to complete the process.  Not everyone is reporting success
with this method, but try it and see what happens.  If all else fails, you
can always create a desktop shortcut to Outlook Express and include the
/newsonly switch -- that gives you the same result as accessing the
newsreader via the News command in Outlook.