It sometimes helps to make sure the binaries are not open in any other
program before telling Windows Mail to attach them.
Make sure the newsgroup accepts binaries. The names of those
which do usually contain ".binaries." somewhere.
When writing the text part of the message, click on Insert and then
File Attachment.
Click on Tools, then Accounts, then your newsgroups account, then
Properties, then Advanced. If there is a check mark in the box before
Break apart messages larger than, then click on the up arrow in the
box which shows how much, then when the size is high enough (but
not larger than that newsgroup server's limit), click on Apply. Click
on OK and then Close.
Try it with a smaller binary and see if it works.