Yes, they will actually execute in the preview pane of most versions of Outlook or Outlook Express unless you tell the program not to allow it - or turn the preview pane off.
I have never caught a virus from any email attachment and I always use the preview pane. I wonder if I have something set to not allow it? I don't recall ever being prompted to allow a program to execute. I keep my virus sw upto date on my laptop but have an old desktop that runs without any virus protection. Guess I'm lucky.