Yes it was a very dumb thing to do, I realised about a second after I did it. In my defence I was actually waiting for a UPS shipment, which was the subject of the phishing mail. The attached file was zipped and I didn't open it, I immediately deleted it.
I'm in the process of running a full ClamXav scan. If it turns nothing up am I in the clear, or do I have to do further checking for infection?