Try saving the attachment. I'm assuming that you're using outlook (sorry I don't use it anymore) but if memory serves me correctly you go file or edit and save attachments.
If it's read only, that's fine, it will open it but if you want to edit it you will need to save it under a different name.
However, I thinks this maybe the most likely:
Check how the person sent it to you. Sometimes people think that they've sent you a document, but acutally they've sent you a short cut. So need to look at the file extension on the document. For word it's .doc, excel is .xls, or maybe .pdf. I think that the extension for a shortcut comes up as .url, but I can't remember - and I'm on a mac these days.
Let us know if you still can't open it and check the file name/extension.
Dem