We've seen a wide variety of courier brands "borrowed" for this purpose, including DHL, the UK's Royal Mail and even, in one bewildering case, a made-up courier company called TNS24, with its very own website, featuring its very own amusingly ill-Photoshopped planes, ships and automobiles.
But a competently-executed courier scam can be fairly convincing, especially if the criminals behind it know enough about you to create what becomes a targeted attack.
Even a modest amount of detail (if that is not an oxymoron) can do the trick.
For example, the crooks will sound a lot more believable if they know your address and phone number; are aware of what you do in your job; and have a general idea about some of the projects you are working on right now.
Of course, if you open the attachment or click on the link in one of these scams, you are immediately put into harm's way: the attachment might try to trigger an exploit in your unpatched copy of Word, for instance, or the link might attack an unpatched Java plugin in your browser.