Goto Tools -> Options -> Then click on the Security tab
Now Uncheck "Do not allow attachments to be saved or opened that could
potentially be a virus"
Attachments that you could not save or open will now be available. This is a
new feature of Outlook Express 6 SP1.
Be careful. Some attachments really are dangerous and they may come from
someone you know, if that friend has a virus that sends dangerous email
attachments. You should save the attachment and then manually scan it with
an anti-virus tool before opening it.