This is one article in the larger Troubleshooting SharePoint Alerts guide

Problem

You are unable to open the alert messages if :-

• You have a mailbox on a server that is running Microsoft Exchange Server 2003.
• You use Microsoft Office SharePoint Server 2007 to send a notification message to the mailbox.
• You try to open the SharePoint Server 2007 notification message in Microsoft Office Outlook 2007.
• Outlook 2007 is running in Cached Exchange Mode.

References

• KB 930807 – You cannot open a SharePoint 2007 notification message in Outlook 2007 when your mailbox is on Exchange 2003 Server

To Fix

• Apply hotfix  mentioned in KB930807

or

• Disable Cached Exchange Mode (be careful of the performance impact of doing this, see comments)

Fixed in

• Microsoft Exchange Server 2007