The Load() method loads the attachment by making an EWS call. From your code snippet, it is bound to fail as the email object has not been created yet in Exchange, so it does not have an Id to refer to. (ref: http://msdn.microsoft.com/en-us/library/office/microsoft.exchange.webservices.data.attachment.load(v=exchg.80).aspx)
Can you give a little more background to the problem that you are trying to solve? From an above comment, you mentioned being able to Attach an email to another parent email. You might be interested to take a look at adding ItemAttachments in the link @JPRO provided above. Also refer to AttachmentCollection Class: http://msdn.microsoft.com/en-us/library/office/microsoft.exchange.webservices.data.attachmentcollection_methods(v=exchg.80).aspx
Again, as I don't know the problem you are trying to solve, these may or may not be useful to you. It would be helpful if you could give a little more context.