I'm assuming the email is in html format, to see the html code in Outlook Express go to File > Properties > Details > Message Source and you will be able to see what the file is called. Other clients will most likely have a similar facility. Do a search for the filename in the C:\WINDOWS\ folder or just c:
If that doesn't work, try the search with *.wav instead, although that may come up with an awful lot of results!
If it's not in there it is most likely embedded in an exe file or streamed from a site on opening the email and you probably won't be able to extract it.