Have just been looking into this problem for a friend who has OE6 with the latest service pack and it won't open .zip and.exe attachments for security reasons. If you know where they come from, you can disable this setting temorarily so you can open the attachments. I found the following, sorry, can't remember where:
" Blocking of potentially harmful attachments. You can choose to completely block specific attachments based on their file format. Outlook Express maintains a list of file formats, such as .exe and .zip, that cannot be opened or saved to disk on your computer. This feature is similar to the Microsoft Outlook feature for blocking attachments. If a message contains only attachments with blocked file formats, Outlook Express disables the Save Attachments option on the File menu. "
Hope this helps.
Lyn