This issue comes up regularly. Do NOT Open attachments and work on files!

http://support.microsoft.com/kb/817878

http://www.gmayor.com/outlook_attachments.htm

Please note the above is in regards to Outlook, but the situation is not restricted to Outlook. With Outlook there is a bit of a chance of finding the file.

Bottom line is NEVER open a file from an attachment. Always save to disk first.