Email scanning has always been problematic. I know that I'm grateful when
the CEO of my company sends me the latest virus variant message to ask if it
is for real, and I can see that the antivirus has already removed the
payload (and said so!)
However, this comes at a price, and the same protection would have the same
effect if you clicked on the attachment and tried to open it.
In fact, the real-time protection of Microsoft Antispyware should protect
you if you attempt to install known spyware via clicking on an attachment.
There isn't an email scanner built-in, though. I suspect that one reason is
that this is not a frequent delivery mechanism for spyware.