Here is a previous post of mine on this issue:

From a post by MVP Rick Brandt:

"If he/she has Service Pack 2 for Windows XP installed it "Blocks" all
executable files that come from other systems whether that be Email or being
dragged from the network.  You have to right-click on the file, view the
properties, and press the [Unblock] button in the lower right.  Then the
file will work."

See the following link:
http://support.microsoft.com/?id=883260

And some information from MVP Ken Snell:

"It also appears to be superficially discussed in Windows XP Help. Open Help
from Windows Explorer and search on the keyword
   attachment

It will display a few topics about email attachments and how to unblock via
the file icon."

Other possible causes:

You receive an error message when you try to open an Access 2002
database from a Web Server:
http://support.microsoft.com/?id=810582

Intranet site is identified as an Internet site when you use an FQDN
or an IP address:
http://support.microsoft.com/?id=303650