Hi Veronica,
Where are you attempting to open the attachment from? From the user story details page (old version), I have no issue although it downloads to my computer rather than launches (as I don't have Outlook installed). I would imagine if you are actually trying to open a .msg file, your computer would be attempting to launch Outlook to open the file. If, for some reason, your browser doesn't have permission to launch it in Outlook, that could cause an issue.
Or, I could be completely off-base! :) Could you please post a screenshot of the error so we can see what you see? Thanks!