Go to www.slipstick.com which has some articles on how to edit the
registry to modify the Level1Remove list, or do a search at Microsoft's
own support site http://support.microsoft.com on "blocked attachment"
for the version of Outlook that you have (which you omitted to mention).
Alternatively, tell the sender to rename the file so it is not longer an
..exe file. Called file.exx or whatever they like. The attachment
security is based on the extension of the file.