Outlook places attachments that are opened from Outlook items in a SecureTemp folder, which is well hidden under the Temporary Internet Files folder at
C:\Documents and Settings\user\Local Settings\Temporary Internet Files\OLK*

When you close the open attachment and the message is still in open or in preview, the temporary file is deleted from the SecureTemp folder. If you close the message or preview another message, the link is broken and the file is left in the SecureTemp folder.

You can move the location of the SecureTemp folder by editing a registry key, after first creating the folder on your hard drive. If using Outlook 2002, after creating the folder, use the Registry editor to browse to
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\Security
Add a String Value called OutlookSecureTempFolder if it doesn't already exist, then enter the path to the new folder location as the data string.

To view the securetemp folder, at Start menu, run, type

%temp%

and expand the Temporary Internet Folders branch to show the OLK* folder(s) in the Folder list (left side of screen). Click the Folders  button in the Explorer toolbar (or View, Explorer Bar, Folders) if the folder list is not shown.

For more information, see:
Outlook 2000 - KB 249793
Outlook 2002/2003 KB 296115

Step-by-step help with screenshots (Windows XP)

If using newer versions of Outlook, edit the registry key to reflect the version of Outlook: i.e., 11.0 for Outlook 2003 and 12.0 for Outlook 2007.

Tip 421: SecureTemp revisited has more information for Outlook 2007 and Vista users.