Message Properties

When I click on the properties tab of a message, a window pops up
titled "File Download - Security Warning". Here's a snapshot of the error
window: http://home.comcast.net/~jburnett21/error.JPG. Here is a
snapshot of the Properties window after closing the error:
http://home.comcast.net/~jburnett21/props.JPG. Looks like a Windows or IE
issue. Anyone know what's going on here? IE should be converting the TMP
to an HTM file then displaying it nicely in the properties window.
Thanks!