Since I have free time now, I am browsing into the internet to find out the solution. And thanks to Mr Google, there always the answer for my problem.
If you could not open the attachment of your yahoo mail, please follow this steps :
1. Open outlook express (even though it is quite odd, because we think the problem is in the yahoo mail, we should open yahoomail instead).
3. Click tab Security, Uncross in the check box "Do not allow attachments to be saved or opened that could potentially be a virus" then click OK.
I hope you will find the solution like me.
Thanks Mr Google.