Are you seeing the message?
"Outlook Express removed access to the following unsafe attachments in
your mail"

To stop the blocking of Any attachments, see this article:
Cannot Open E-Mail Attachments in Outlook Express 6 After You Install
SP1
http://support.microsoft.com/?kbid=329570

If you've installed XP SP2, then see:
Description of how the Attachment Manager works in Windows XP Service
Pack 2
http://support.microsoft.com/?kbid=883260

To adjust which types of attachments OE blocks, see this article:
OLEXP: Using Virus Protection Features in OLEXP 6 and SP1
(OE removed access to the unsafe attachments in your email)
http://support.microsoft.com/?kbid=291387

Additionally, nested messages (*.EML attachment files) is a common
problem when messages come from AOL, WebTV or Netscape.  Some mail
programs, such as AOL, always do a Forward as Attachment.  Netscape does
this by default, but the sender can do a "Forward Quoted" instead to
avoid the problem.

Often the attachment includes "Content-Disposition: inline".  Some mail
programs honor this.  Unfortunately OE doesn't.  With the exception of
images (which is controlled by Tools, Options, Read in OE4 or a registry
setting in OE5), OE will not display attachments Inline.  Instead you
have to open each attachment.  If a message has been forward 10 times
you need to go down 10 levels of opening attachments.

If they are simple text messages, a quick workaround is to look at the
Message Source (Ctrl-F3).