Outlook Express has a default setting that blocks certain attachments like .exe or .bat that can potentially have viruses that can damage PC.

If you feel sure that you have good virus protection and you can trust everybody who sends email to you, you can tell Outlook Express to permit all kinds of attachments.

For this, go to Tools and then Options. Clicking on Security tab following window appears.

Uncheck the box that shows Do not allow attachments to be saved or opened that could potentially be a virus. Then tick OK. Now Outlook Express will allow you download any kind of file attachment.