Apparently you're not alone:

http://www.aplawrence.com/Blog/B851.html
http://experts.about.com/q/1541/3515952.htm
http://www.experts-exchange.com/Appl..._20852454.html

Is the recipient using Outlook 2002? It blocks many types of attachments from being opened or executed:

http://ask-leo.com/archives/000073.html
http://support.microsoft.com/?kbid=290497

One solution is to try sending the attachment as a .ZIP file.