Shoutbox

Hmm, I'm not sure of any way to do this from within Hotmail itself, but I use Outlook Express to read my hotmail emails and there's an option in that to save attachments (which brings up a list of the attachments, lets you browse to save folder etc).

If you can access your Hotmail inbox from something like Outlook Express you could try it, however I think only older accounts that can do this (someone correct me if i'm wrong). Could be worth a try though...