In a laudable attempt to increase security and prevent virus and worm infections, Windows Live Mail, Windows Mail and Outlook Express prevent you from opening or saving (!) attachments that it thinks may contain harmful code.
Often, this level of security is a bit too much of a good thing. Fortunately, you can regain access to all attachments in Windows Live Mail, Windows Mail or Outlook Express.

Open Blocked Attachments in Windows Live Mail, Windows Mail or Outlook Express

To stop Windows Live Mail, Windows Mail or Outlook Express from controlling your access to email attachments:

Select Tools | Safety options… (Windows Live Mail) or Tools | Options… (Windows Mail or Outlook Express) from the menu.
Go to the Security tab.
Make sure Do not allow attachments to be saved or opened that could potentially be a virus is not checked.
Click OK.
Scan Those Same Attachments for Viruses, Too

Of course, you want to be both free in what you open and safe at the same time. So make sure you do have virus protection in place.