The problem:
When any Office 2007 attachment (.docx, .xlsx, etc) is opened from OWA, the user is asked to save the document before they open it. When they do this, the default extension is .zip. If the user changes it to the correct extension before opening, the file opens correctly.
This happens because the Office 2007 MIME file types are not configured on the web server and the users browser does not know how to open the files. If IE is configured to open files based on the file header, it identifies the file as a zip, which is technically correct.
The administrator can fix it site wide by adding the Office 2007 file types to the MIME settings on the server.
On the user side, IE has an option to open files based on content, not extension. The user should add the OWA URL to the Trusted (or Local Intranet) list before making this change.