I think that this is a 'feature' that has been around for ages playing havoc as it usually does. I know it is in the forum somewhere but I think the integrated search only manages to go back about 3 months now. It is to do with IE security zones as above.
Navigate to User Configuration > Administrative Templates > Windows Components > Attachment Manager. Here you will find a couple of policies related to this feature, but to disable it you'll want to ENABLE the policy called "Do not preserve zone information in file attachments".