That's a known issue which is affecting some who installed IE8.
One workaround is to uninstall IE8, which reverts you back to IE7.
Even without uninstalling IE8 you can make it work for all but TXT and
JPG attachments by doing the following:
Right-click on the shortcut that you use to open Windows Mail.
Select Properties. In the field labeled 'Start in' change the entered
value to %UserProfile%. Click OK. Restart Windows Mail and try opening
attachments.