Just a quick update here. If you're using Outlook 2003 or 2007 with Exchange 2010 you may have noticed you don't have the ability to save all attachments in a mail message. Rumors about the subject seem to indicate a fix for Outlook 2007 is coming in early August 2010 in the form of a rollup or a "CU". For those of you using Outlook 2003.....sorry to say you're out of luck.
A fix for this issue will not be back-ported to Office 2003.