The OP's profile doesn't say what OS they have, but with OS 4.5 you can download any attachment to your device, regardless of whether the attachment service supports the specific file type. If the file type is unsupported, when you attempt to download it you'll get a message telling you that:
You are about to download a file that cannot be viewed on your BlackBerry device. Continue?
If you continue you'll be able to download the file and select where to store it. After that you should be able to access the file from a desktop using mass storage mode.
With earlier OS versions you could only "open" files that were supported by the attachment service.
For some reason, RIM still seems to impose the 2.9MB size limit on attachments, even though you can now direct them to a memory card.