Search around, the information can be found in this forum. But to answer your question, The attachment goes directly on the sd card and not in a folder on the sd card. You can plug the Hero up to a pc and mount the drive. There you can see the file.
I tested this and when I saved the file it went to the sd card. I clicked on the attachment again and this time gave me a choice on what program I want to open it in. Then it opened.
Depending on what kind of attachment, you may need additional software.