This is actually an excerpt from an article over on CNET which explains how you can get Outlook XP to give you back your rights to all your file attachments.

In the wake of the nefarious Melissa and I Love You viruses, Outlook 2002 now includes a security feature that prevents you from opening or saving attachments of certain file types, including EXE (program files), BAT (batch files), and even HLP (help files). When you receive a prohibited file type, Outlook notifies you that you have the file, but you can’t view, open, or save the file to disk–even if the file in question comes from a trusted source. But although Outlook doesn’t make it easy to retrieve the file, it can be done.

Your first option is to download and run a COM add-in from the Slipstick Web site. The add-on puts a new page in the Outlook 2002’s Tools/Options dialog called Attachment Security Options, where you can specify which file formats to unblock.

The second but far less safe method involves mucking with the Windows Registry. Of course, we never encourage you to edit the Registry, but if you choose to do so, make a backup copy. It’s far too easy to do permanent damage and perhaps turn your PC into an unbootable piece of junk. If you still want to take the risk, here’s what to do:

1. From the Start menu, select Run, enter regedit, and press Enter.
2. In the Registry Editor, double-click hkey_current_usersoftwaremicrosoftoffice10.0outlooksecurity
3. Click anywhere in the right pane of the Editor, then select Edit/New/String Value.
4. Enter Level1Remove as the name of the string value, then press Enter.
5. Right-click the Level1Remove string, and in the Value Data field, enter a list of the file extensions, each separated by a semicolon, for the formats you want to unblock. Click OK. (For example, if you entered exe;hlp, you’d unblock executable files and help files.)
6. Exit Registry Editor.

Both of these fixes require you to save the unblocked file attachments to a drive before opening them.