Outlook 2003 – (Some) Attachments are opening as Read-Only

Since a client has upgraded to Outlook 2003 when they get some emails with Office attachments they are marked as Read-Only so they cannot save them.
When an email arrives, they fully open the email, open the attachment and at the top of the window beside the file name is has (Read-Only)

I have read http://support.microsoft.com/?kbid=906168 and can confirm that’s not the same problem as they are double-clicking on the email to get to the attachment.
They don’t want to right-click on each attachment, save it somewhere, then open it either.

Is this a feature in Outlook 2003?
Something happening when the document is created?

Thanks