EXE files in zip archives
Some recent viruses have been spread as zip archives. Such archives can be directly opened in Windows XP. If you double-click on the file contained in the zip folder, the program is launched, possibly infecting your PC. This email contains such a zip archive with a harmless EXE file.
For your protection, you should only open file attachments if you have explicitly requested them or if the person who sent you the file is someone you know personally and has reassured you, for instance by phone, that the email is genuine and the content harmless.