Don't panic, it's just an outlook express security feature and as long as AVG is kept up to date you may as well disable it.
Open outlook express,
Click on "Tools" then select "Options".
From there go to the security tab. In the Virus protection section there is a tick box next to "Do not allow attachements to be saved or opened that could potentially be a virus" untick the box then OK the main window.You will now be able to open all those attachements.
Do make sure that AVG is configured to check incoming e-mail.