E-mail attachments - "file cannot be found"

About 2 months ago, I became unable to open attachments
from e-mail senders. Whether in Word or Adobe Acrobat
Reader, the appropriate program opens, tries to load the
attachment file, then a window appears stating something
like "the file cannot be found" (I am able to read the
attachments by first downloading them to a directory.) I
have checked the Security settings and they read as they
should. Any ideas as to how I can solve this?