Yes. It's a security feature. I realise its inconvenient but before you
dismiss it as a total waste of time, think of all the fuss you've heard
about the "My Doom" virus in the news recently -- this virus totally relies
on people who blindly open everything they receive in an email, and the OE
attachment blocker would have stopped them from doing so if they were using
it.
You can turn it off by going into tools/options/security in the main outlook
express screen. Obviously having done this you should then take extra care
to only open attachments once you've made certain they are safe.
