This problem is often caused by having too high a security lavel in IE, although i've seen it happen in other browsers too.
Here's a workaround for IE6, which you mention you are using.
Click Tools > Internet Options > Privacy > and drag the slider to "Medium" as opposed to "Medium High" or anything above that.
bbhagrid's advice about saving the target of the link won't work as hotmail dosn't link directly to the attached file.
Hope this helps
