The emails contain a ZIP attachment -- DHL-Express-Delivery-Notification-Details_03-2012_[random string].zip -- that's containing the actual malicious code. The malware is currently detected as Mal/BredoZp-B and Mal/Zbot-FV.
This isn't the first time that cybercriminals are impersonating DHL. In the past, they have also impersonated UPS and FedEx, once again in an attempt to trick end and corporate users into downloading and executing a malicious attachment.
End and corporate users are advised to avoid interacting with the emails, and to report them as spam/fraudulent immediately.