See http://www.slipstick.com/outlook/esecup/getexe.htm and
http://www.slipstick.com/outlook/esecup/admin.htm

While in the news reader click on Tools/Options/Security.  Make sure that
"Do not allow attachment to be saved or open  that could potentially be a
virus." is NOT checked.

The versions of Outlook that I use also blocks all attachments.  I
usually e-mail documents and links back and forth between work and
home where I might do my work.  {Yes, I know not intended for use as
an FTP client; but small files or links shouldn't be a hassle.}  One
of the blocked attachment types in my version of Outlook are *.url(s)
[internet web links].  The fix for allowing me to view the blocked
attachment was not readily available from MS right off the bat via
their help. Eventually, I found it at MS's support site.
http://support.microsoft.com/?kbid=290497
Well, the fix required a new StringValue in the registry.