Problem opening attachment on OE6

Software: Windows 98SE OE6 Word 2000.
Problem: Some attachments to emails, both received, and also some I send out myself (blush) will not open. When I click on them, machine sends up window that says it needs a program to open DAT files. Specifically, it says it needs a program called <My.exe> I have no idea what this is, tried Find... and Run... and nothing turned up.
Would appreciate directions how to open such attachments as a Word document.
thank you.

 

Some attachments in OE6 do not open if they are .dat files

Thank you, Steve, but I do not see how this refers to the problem I posted. I checked the Microsoft bulletin, but it says specifically it applies to the Windows XP system, home and professional. I run Windows 98SE. Also the attachments in my system are not indexed in blue. And I have no trouble opening the blue links--for example the one you suggested to the Microsoft bulletin.
Would you be kind enough to think further about this and let me know? Thank you very much.
ALK