You can unblock them though. (Full directions)
The meet of it comes down to:
- Run Regedit, and go to this key:
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\Security (change 10.0 to 9.0 for Outlook 2000 SP3 or to 11.0 for Outlook 2003)
- Under that key, add a new string value named Level1Remove.
- For the value for Level1Remove, enter a semicolon-delimited list of file extensions. For example, entering this:
would unblock Microsoft Access files and Internet shortcuts. Note that the use of a leading dot was not previously required, however, new security patches may require it. If you are using "mdb;url" format and extensions are blocked, add a dot to each extension. Note also that there is not a space between extensions.