Are you talking about a link or an attachment?
If it's an attachment, the culprit is IE 6.0, it stops
attachments with certain (Level 1) extensions. You can
remove that restriction via the registry.
Outlook normally keeps you from opening attachments with
extensions like .exe or .bat-files that can potentially be
viruses. If you're confident that you (or your antivirus
software) can spot suspicious files and ignore them-and
you're comfortable editing the system Registry-you can
tell Outlook to stop blocking file types.
Make sure Outlook isn't running, and choose Start > Run.
Enter "Regedit" (without the quotes), choose OK, and in
Regedit, navigate to HKEY_ CURRENT_USER>Software>
Microsoft>Office>10.0>Outlook> Security. Then choose Edit
New > String Value and name it "Level1Remove" (without
the quotes). Right-click on Level1Remove, choose Modify,
and for its value enter the list of extensions you want to
allow, using semicolons to separate the items. Close
Regedit and you're done. Outlook will stop blocking files
with the extensions on the list.