Step 1: Open Outlook Express

Step 2: Click on Tools and then Options

Step 3: Click on the Security Tab

Step 4: Uncheck the box that reads “Do not allow attachments to be saved or opened that could potentially be a virus”

Step 5: Click on OK at the bottom of the window.

You can find more information in the Microsoft Knowledge Base:

Microsoft Knowledge Base Article - 329570 "Cannot Open E-Mail Attachments in Outlook Express"