I think that hwta you are saying is that if you go back to the e-mail and try to open the picture, you are once again asked if you want to save it. But if it's already in "My Documents", you can open it from there - you don't need to open it from within the e-mail.
Presumably your e-mail client is configure to prevent you from opening an attachment directly. As you haven't told us what client you are using, it's difficult to advise on that.
Another possible reason for being unable to open an attachment directly is if the Temp directory is full. You can fix that by running Disk Cleanup.



