I have users report that InfoPath Attachments must be saved and open. There is no open option.
After a few search, and it actually SharePoint 2010 block the file.
SharePoint 2010 utilizes this enhanced security feature in IE 8 to block the opening of file types it considers vulnerable to scripting or other attacks, such as PDFs. You can modify SharePoint’s behaviour by changing the Browser File Handling option in the Web Application General Settings of SharePoint 2010. Your options are permissive and strict, with strict being the default.