If you are using a web-based e-mail like Gmail or Outlook.com you’ll see those files available as a download. Since you are viewing the e-mail online,the content must be downloaded first to be saved on your computer.
You may be able to open the file in a program like word and then choose a destination for saving it, if you’d like to bypass the download folder.
You could also switch to an e-mail client such at Windows Live Mail if you’d like to save attachments. Even with an e-mail client, some very large files may still have to be downloaded from a cloud drive. Many e-mail services won’t allow files over a certain size to prevent their services from becoming overloaded with large files.