See the Mac OS X Mail: What is a winmail.dat attachment? (HT2614) document; either obtain a tool to unpack the winmail document, or ask the Windows user to update your entry in their address book to not use the winmail stuff as described in that HT article. There are some more articles on this topic off to the right in the More Like This section, too.
Winmail. dat file is attachments sent by Microsoft mail applications (Outlook, Outlook Express or Exchange) on a proprietary format called TNEF. Being a non-standard attachment format, users from other e-mail clients (like Thunderbird or Lotus Notes) or platforms (like Android, Apple, iPad or iPhone) cannot natively read them. But you can open it easily with a winmail viewer. Go to download one and good luck!