You'll get this message when you try to open a message with an MSG extension or an embedded attachment in a message. According to MSKB 196030, The attachment is a type that is not yet supported the latter situation is encountered because "embedded message attachments (MHTLM) are not supported in the Outlook Web Access client." Their workaround is to use a different client (e.g., different protocol) to open the message, such as POP3 with Outlook Express.
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