The default location for attachments is a folder called "attach" inside your mail folder. Most malware scripts or viruses will look for files there, so specifying a different custom attachment directory is a basic security measure. This is done via Tools > Options > Attachments > Attachment directory.
To determine what a suspect attachment might do, you can open it in the application of your choice, rather than just clicking the attachment link to open it in the associated default application (which may be dangerous). Right-click the attachment link and choose "Open with" (e.g. with WordPad), or open the file browser window at left, navigate to the file in your attachment folder, right-click it and choose "Scan for Viruses". A great program for investigating unusual file types is UltraEdit, a shareware Hex-editor and programmer's editor from www.ultraedit.com.