In Mac OS 10.6, Apple Mail users may experience a delay in seeing attachments to emails. This is due to a known issue with Apple Mail retrieving email in the Exchange environment. Attachments may show up a few hours later.
Apple is aware of this issue, and has resolved it in Mac OS 10.7.
Unfortunately, Apple has not made any statement that this issue will be fixed for Mac OS 10.6. For Mac OS 10.6 users, the best workaround is to view the email in OWA, at http://owa.mit.edu, and to retrieve the attachment there.