The obligatory link: New Phisher Tactic: Pay Me Or I'll Kill You
From the same kind of low-life scum that cooked up the Nigerian e-mail scam, undoubtedly. Not to mention, yet another good reason not to open e-mail if you don't know the sender.
In any event, since the article was so good as to give us a sample of the main body of the scam mail in question, we can do something about it without having ever received one personally. If you don't know the general procedure to set up rules in Outlook, please refer to this post. Now, instead of checking the box "which has an attachment", we're going to choose "with specific words in the body". Adding a couple of the phrases from the mail in question will do. I'd choose "Do not contact the police" and "I turned out to be a betrayer", since they're not so common that they might accidentally filter legitimate mails from people, but the choice is yours. Continue with the rest of setting up a rule, and apply it.