Not one I have personally come across. I am taking it that a user is double clicking on the shortcut in outlook and the mail is being retrieved successfully and when they then double click on the attachment they get prompted. Is that correct? Do they not get prompted when double clicking on the shortcut if that is the case? Do you have offline vault configured?
Can you switch client logging to maximum, Repeat the behavior and post the log.
Also looking at the compatibility list your environment is unsupported. For whatever reason Vista SP2 (x86) for EV7 is pending certification and if you are on Vista (x64) this is unsupported.
ftp://exftpp.symantec.com/pub/support/products/Exchange_Mailbox_Archiving_Unit/276547.pdf
Might be worth downloading EV2007 and trying an EV2007 client to see if you get the same behavior as that is supported. Being prompted for credentials though should not be anything to do with the EV client. This is usually an IE, IIS or proxy sort of issue.
