Just about anything is better than OE for a newsreader.
I use OE for email - I'm not one of the MS slammers. OE is an email program that happens to work marginally on newsgroups.
I've used FreeAgent, Agent, and Newsbin Pro. Each has its advantages. FreeAgent is - free.
Agent allows you to arrange groups and messages in folders, and when you delete a message, it stays deleted until you tell it to get all the headers again, and you can lock individual messages to save them while deleting the rest of list.
Newsbin lets you limit you download speed, for those of you that hasve ISPs that don't like newsgroups (because they can't support the bandwidth).
There are lots of versions of each. Some of the older are better (IMO) than some of the newer.