When you try to open or save an e-mail attachment, you may receive the following error message:

Cannot create file: file name. Right-click the folder you want to create the file in and click Properties on the shortcut menu to check your permissions for the folder.

This issue may occur when the Temporary Internet Files folder is stored on a server on which you do not
have sufficient permissions.

Use Microsoft Fix It to resolve the issue or follow below steps

To resolve this issue, force Outlook to use a specific folder for temporary files. Modify the relevant Windows Registry key as follows:

Outlook 2000

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If you are using Outlook 2000, follow these steps:

1.     Start Registry Editor.

2.     Locate and then click the following registry key:

HKEY_CURRENT_USER\Software\Microsoft\Office\9.0\Outlook\Security\OutlookSecureTempFolder

Note You may have to manually create this registry key if it does not already exist on the system.

If Outlook is installed on a terminal server, use the following registry key:

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\WindowsNT\CurrentVersion\Terminal
Server\Install\Software\MICROSOFT\Office\9.0\Outlook\SECURITY\OutlookSecureTempFolder

3.     On the Edit menu, click Modify, and then add the following registry value:

Value data: Path and name of the folder that you want to use

4.     Exit Registry Editor.

Outlook 2003

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If you are using Outlook 2003, follow these steps:

1.     Click My Computer, and then double-click drive C.

2.    On the File menu, click New, and then click Folder.

3.    Name the folder temp0.

4.    Click Start, click Run, type regedit, and then click OK.

5.     Locate and then click the following registry key:

HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Outlook\Security\

6.     In the right pane, double-click OutlookSecureTempFolder.

7.     In the Value Data field, type C:\temp0\ and then click OK.

8.     Exit Registry Editor.

9.     Restart the computer.

Outlook 2010

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If you are using Outlook 2010, follow these steps:

1.    Click My Computer, and then double-click drive C.

2.    On the File menu, click New, and then click Folder.

3.    Name the folder temp0.

4.    Click Start, click Run, type regedit, and then click OK.

5.     Locate and then click the following registry key:

HKEY_CURRENT_USER\Software\Microsoft\Office\14.0\Outlook\Security\

6.     In the right pane, double-click OutlookSecureTempFolder.

7.     In the Value Data field, type C:\temp0\ and then click OK.

8.     Exit Registry Editor.

9.     Restart the computer.

Reference: http://support.microsoft.com/kb/305982