Usually they end with msg-file. Outlook 2007 and 2003 can open msg-files
from all previous versions of Outlook. Of course other applications can use
the msg file extension as well which are not compatible with Outlook.
Why not ask the sender how the item was created and which application it
should be opened with?

Depends entirely on what *IS* the filetype that you neglected to
mention.  My guess is that you have Word 2007 and attached a .docx file
that no one without Word 2007 can read.  Tell them to get the
compatibility pack from Microsoft's download site, or stop sending files
whose proprietary format is unreadable by your recipients.  You can
configure Word 2007 to output .doc files instead of .docx files.  Of
course, and because of the dearth of details in your post, I'm just
guessing that it is a Word 2007 file format issue.