Paj,
On your user options, for this forum, have you disabled "Images" from the Post Elements. If so enable it, and don't worry we all do that sort of thing from time to time.
If not the below may apply.
Zone Alarm pro does come with ad blocking, though I thought it put in a caption for blocked ads....
From the client side of things the mechanism used for gallery and embeded pictures appears to be much the same, so I would doubt it is IE or Win2K, the source URL is different though so it could be an ad blocker which is mistaking one but not the other for an ad.
Though it will make pages you visit on a regular basis slower to load for the next visit it may be worth going to Tools -> Internet Options, then on the General tab clicking the "Delete Files" button in the middle of the form, in the box that says Temporary Internet Files. Then close IE reopen it and try viewing a message with an attachment.
NB do the Delete Files bit when looking at another web page.
It could be that IE has cached an iffy version of the attachment URL page.