I once had that problem using MS Outlook Express (probably Outlook too). It
was related to a security setting that wouldn't allow downloading of any
content to protect the naive user from viruses/worms. Since I just use Gmail
I don't know how the Ubuntu mail clients are set up but if you search the
menus the mail help files and the web you might find something similar that
needs to be disabled.

I just tried this out and here is what I did.

Click on the email with the attachment.
Click Show Attachments.
Click Download Selected.
The virus scan starts.
When its down click Download Attachment.
Three seconds later a window popped up asking where to save.

This was done on Opera.
If you have javascript turned off and you are on Firefox then this might
be a bit different.

Also, I'm using the newer enhanced version of Yahoo Mail for this.