JonB,
That's exactly how my division's network got infected, through open network shares with corporate, who had all servers and some PCs infected. We just got the .eml and riched20.dll files.
Corsair, yes, you should be fine, be sure to delete that email, and let the person that sent you the email know that they have been infected with the Nimda virus.
Jay, you can also be infected by surfing the Internet and happening upon a website that has been infected. Nimda infects IIS, then also mods the html files to infect others going to that website.