Which email client is that?
Also, for many years already, Windows won't let you run an executable that you just downloaded from the internet just by double clicking, without first clicking through a warning dialog.
For example, recent versions of Word won't run VBA macros by default without the user clicking through a warning dialog, and yet people fall for it all the time.
Malware authors don't mind either way.
- PDFs with JS code. It's not a joke, someone actually titled a paper on PDF exploits alone, "PDF, Let Me Count the Ways".
- Hostile RTFs (with or without OLEs) disguised as Word documents (which Office will gladly open).
- Hostile HTML disguised as Excel spreadsheets (likewise).
- New unknown variants of the old Windows metafile exploit (just by viewing, as xorcist suggested).
- Image "stegosploits" (likewise).
The list goes on...
The app is usually in an installer package or ZIP which adds a couple more execute barriers.
The real threat is malware hidden in document formats like docx or pdf, which usually have fewer clicks before open + get exploited.
Citation please? This is not my experience.