Your Outlook Express may be configured to protect you from attachments it thinks might be carrying malicious code, be it a virus, a worm or a Trojan horse, even if they are not.
To stop OE from getting in the way, click on its Tool Menu, then choose Options.
Click on the Security tab. In the Security section, you will see a checked box next to the line "Do not allow attachments to be saved or opened that could potentially be a virus."
Click on the box to get rid of the checkmark. Click on Apply.
Do this only if you have an antivirus program running and have set it up to scan your e-mail and have kept your antivirus definitions up to date.
OE provides all sorts of security safeguards, including the ability to let .jpg files get through while stopping others, so if you have a few minutes, go to http://support.microsoft.com/default.aspx?scid=kb;en-us;Q291387 to get the details.