Is the paper clip surrounded by a dotted line or a solid one?
If the line is dotted then the file is not downloaded yet. Tap on it and it should start to download. You can see the progress as xxMB of xxMB. When it is finished the line around the paperclip should turn solid. At that point you can tap and hold for a popup menu or just tap to view. You should have a Save option, that will save it to the Photos app, and an Open In... option that will save and open it in other compatible apps. If you are viewing the photo you should be able to tap and hold on it for the same menu.
That's how it works with my mail, on the rare occasion that the picture doesn't just show up displayed in the body. Both my main email servers are IMAP. If yours is POP, it may work differently. I'm not sure.