There are 2 levels of attachments, by default:

Level 1 contains:
ade;adp;asx;bas;bat;chm;cmd;com;cpl;crt;exe;hlp;hta;inf;ins;isp;js;jse;lnk;mda;mdb;mde;mdz;msc;
msi;msp;mst;pcd;pif;prf;reg;scf;scr;sct;shb;shs;url;vb;vbe;vbs;wsc;wsf;wsh

Level 2 contains:
none

Actions:
Level 1 - Attachments are blocked from user access.
Level 2 - Attachments can be saved but not viewed.


Workround:

The following key moves attachments from level 1 to level 2 so that users can save the attachment.

HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\Security
Key: Level1Remove
Reg_SZ:ade;adp;asx;bas;bat;chm;cmd;com;cpl;crt;exe;hlp;hta;inf;ins;isp;js;jse;lnk;mda;mdb;
mde;mdz;msc;msi;msp;mst;pcd;pif;prf;reg;scf;scr;sct;shb;shs;url;vb;vbe;vbs;wsc;wsf;wsh

If this doesn't work check and remove the following registry keys:

HKEY_CURRENT_USER\SW\Policies\Microsoft\Security\
Key: CheckAdminSettings
HKEY_CURRENT_USER\Software\Policies\Microsoft\Office\10.0\Outlook
Key: DisallowAttachmentCustomization