I just tested a PDF and Word and Excel files. None downloaded successfully, and I tried a variety of methods. I didn't though try borisb's workaround. When I'm on the go and need to download email attachments from colleagues, not being able to do so is aproblem. My current workaround is to email the attachments to my personal email address, from which I have no problem downloading attachments.

So, someone more knowledgable than me who knows this stuff, what exactly is the problem? The MS Exchange server, the type of encryption, or something else?