If the message contains any HTML and you are reading in Plain Text, you will
see the paper clip.

Also, if you are using AVG for your anti-virus and have e-mail scanning
enabled, that can cause the issue as well. Normally, I would just say to
turn off the e-mail scanning feature. It is a redundant layer of protection
that eats up CPUs and causes a multitude of problems such as time-outs and
account setting changes. Your up-to-date A/V program will continue to
protect you sufficiently. However, with AVG you need to remove and
reinstall AVG and choose Custom Mode. Uncheck E-mail Scanning when you see
that option. For some reason, just unchecking it in the security center
causes a conflict with the Windows Security Center.

See:
http://forum.grisoft.cz/freeforum/read.php?3,76131,76141

1. Disable AVG Anti-Virus Email Scanning.

2. Tools > Options > Security > Download images... (uncheck)

and/or

3. Tools > Options > Read > Read all messages in plain text (uncheck)

See
http://www.microsoft.com/technet/prodtechnol/winxppro/maintain/sp2email.mspx