There is a known issue with internet explorer having dificulties with iFrames, especially when they have an "invalid" src (e.g. src="about:blank")
Maybe swa is using an iFrame for the attachment popup window ?
If that's the case then unfortunately this can only be fixed in swa by poiting the iFrame to a real page (instead of about:blank for example)
Or you can ask Bill to fix it
Note: I haven't tested it, but it might be fixed in IE7
EDIT:
I just realized you can fix it yourself, although this is not the recommended way:
open IE -> Tools -> Internet Options -> Security -> Custom Level -> Miscellaneous -> Display mixed content
and set it to "Enable" instead of the default value "Prompt"