Files that are attached to an e-mail only exist within that e-mail. You have to tell Thunderbird to save those attached files (photos in your case), to your computer. Click the "Save All" button to the right of the list of attachments, and then save them to a good spot on your computer.

Then when you view those photos in the folder that you saved them in, the forward and backward arrows will work, because they are going forward and backward through the photos in that folder.