This is a due to a feature in Outlook Express where-in it protects your system from virus attachments. If you're sure that the attachment is safe AND you have a real-time virus scanner running in the background, you may disable the virus protection feature of Outlook Express. Restart Outlook Express.
Start Outlook Express.
On the Tools menu, click Options.
Click the Security tab, click to clear the Do not allow attachments to be saved or opened that could potentially be a virus check box under Virus Protection, and then click OK.