Had the same problem in WMP fixed as follows:
In IE7/Tools/Internet Options/Advanced (at the bottom clicked on Reset) &
reset all the settings - restarted IE7.
Now Windows mail "Attach" works fine
WMP Open File works fine
IE7 Downloading a File/Save
Obviously the "browsing" technique as it is in XP is also in Vista and thus
it is essentilal that IE operates correctly to enable other Programs
functionality to operate.