In the list view, select the message you want to attach and press Ctrl+C to copy it.
Create a new message.
With the new message, press Ctrl+V in the body of the message to attach the copied message. The copied message will appear as an attachment in the new email.
Outlook Web App
In the list view, select the message you want to attach. If messages are being in conversation view, the messages will need to expanded to see all the messages of the conversation by selecting the small triangle to the left of the conversation subject.
Select New Mail to start a new email.
Drag the selected message to the body area of the new email.
The selected message will become an attachment in the new email message.