If you're using I/E version 5.x the attachment is probably being temporarily stored in a special "IE" folder unde the "Temporary Internet Files" folder. If so, Windows cannot find/'associate' this file with the application (in your case Excel).
Right-click on the attachment and "SAVE AS" it to a folder (such as My Documents) then either open Excel, and point to the file wherever you saved it, or 'explore' / navigate to the file and double-left-click on it, and it should open fine.