Using New Outlook on Windows for personal email, calendar, and contact management
If you are seeing only seeing the Download and Save to OneDrive options then you have likely enabled this Toggle:
Which will move you from the installed Desktop Application to the new Universal Application that is internet based... When you do this you are accessing your e-mail from Outlook.com via an app installed on your computer.
IMPORTANT: This web-based access does not (currently) have the ability to preview files.
If you turn this back off you will regain your ability to preview without downloading (as long as the settings discussed are set correctly)