Depending on the configuration, and if you are using a current version of Outlook and XP or Vista with the EV client installed, opening a shortcut (stub) can retrieve and present the archived email as a normal email item along with any any attachment. On the shortcut, attachments can be presented as hyperlinks. These configuration settings are in the Mailbox policy on the Shortcut Content tab.
There may be other reasons your consultants said it could not be done. It might be disallowed by a business policy or there might be reasons due to your network config.
If you settings and network setup allow the shortcut to open the archived item and you are getting the error message, then there is something wrong with your setup.
Remember too if you edit your Mailbox policy with different Shortcut settings, it will only take effect on items archived after the policy change. Items that have already been archived will have the old shortcut settings.
