What type of file is it?? you may need to download something like download crutch from the market.. it will allow you do download file formats android otherwise won't download..
but I'll be sure to chime in if anything crops up. EDIT: oops, spoke too soon!!
I cant save email attachments, at all! This may be more user error than phone. But as far as I have tried there is no option but to open, which lets me view or hear the attachment and then boots me right back to the email. no option to save.