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SUMMARY
Microsoft Outlook includes a feature that blocks attachments that are considered unsafe. If you receive an e-mail message that contains an attachment that contains one of the file types that are considered unsafe, you may receive the following message:
Outlook blocked access to the following potentially unsafe attachments: […]
Although Outlook blocks access to the attachment, the attachment still exists in the e-mail message.

This article discusses the methods to use if you have to open an attachment that has been blocked in Outlook.

How to Customize Attachment Security Behavior

1. Quit Outlook if it is running.
2. Click Start, and then click Run. 
3. In the Open box, type regedit, and then click OK. 
4. Verify that the following registry key for your version of Outlook exists. If it does, go to step 5.

Microsoft Outlook 2000:
HKEY_CURRENT_USER\Software\Microsoft\Office\9.0\Outlook\Security

Microsoft Outlook 2002:
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\Security

Microsoft Office Outlook 2003:
HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Outlook\Security
If the registry key does not exist, create it. To create the registry key, locate and then click the following registry key:
HKEY_CURRENT_USER\Software\Microsoft
a.  Click the Edit menu, click New, and then click Key. 
b.  Type Office, and then press ENTER. 
c.  Click the Edit menu, click New, and then click Key. 
d.  Type 11.0, and then press ENTER.

Note This is the correct name if you are using Outlook 2003. If you are using Outlook 2000 or Outlook 2002, you will have to type “9.0” or “10.0”, respectively.
e.  Click the Edit menu, click New, and then click Key. 
f.  Type Outlook, and then press ENTER. 
g.  Click the Edit menu, click New, and then click Key. 
h.  Type Security, and then press ENTER. 
 
5. Click the Edit menu, click New, and then click String Value. 
6. Type the following name for the new value:
Level1Remove
7. Press ENTER.
8. Right-click the new string value name, and then click Modify. 
9. Type the file name extension of the file type that you want to open in Outlook. For example:
.exe
To specify multiple file types, use the following format:
.exe;.com
10. Click OK. 
11. Quit Registry Editor.
12. Restart your computer.
When you start Outlook, you can open the file types that you specified in the registry.

Source: MS KB#829982