Outlook Express:
Open Outlook Express.
Click Tools, click Options, click Security tab.
Uncheck "Do not allow attachments..."

This change that Microsoft implemented is to help prevent viruses and other bad code being received with attachments.
It is ALWAYS a bad idea to open an unexpected attachment.
Verify the sender sent the attachment before opening.

Microsoft NEVER sends Email with attachments.
Information on Bogus Microsoft Security Bulletin E-mails
It is very important to keep your antivirus updated and run it at least weekly.

Outlook:
OL2002: You Cannot Open Attachments