If you are not using Outlook you should save manually every attachment.

Photos attached to email appear as thumbnails under message. Click the thumbnail image or Scan and Save to Computer to add an image to your backup folder. With other types of files click Scan and Save to Computer

On the page that opens, click Download Attachment. You must Open the attachment or Save it to Disk.

If you are using Outlook in C:\Documents and Settings\user name\Local Settings\Application Data\Microsoft\Outlook folder you can find a file: Outlook.pst. and this file contain all the Outlook mailbox, the mails with attachements.