You are not using Outlook in an Exchange environment.
In an Exchange environment, the administrator has not configured the Outlook Security settings to disallow changes to the attachment security behavior.
In these scenarios, modify the attachment security behavior by making a modification to the registry. To do so:
Quit Outlook 2002, if it is running.
Click Start , and then click Run .
In the Open box, type regedit , and then click OK .
See if the following registry key exists. If it does, skip to step 5.
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\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
Click the Edit menu, click New , and then click Key .
Type Office , and then press ENTER.
Click the Edit menu, click New , and then click Key .
Type 10.0 , and then press ENTER.
Click the Edit menu, click New , and then click Key .
Type Outlook , and then press ENTER.
Click the Edit menu, click New , and then click Key .
Type Security , and then press ENTER.
Click the Edit menu, click New , and then click String Value .
Type the following name for the new value:
Level1Remove
Press ENTER.
Right-click the new string value name, and then click Modify .
Type the extension of the file type that you want to open in Outlook 2002. For example:
.exe
To specify multiple file types, use the following format:
.exe;.com
Click OK .
Quit Registry Editor.
Restart your computer.
When you start Outlook 2002, you can open the file types that you specified in the registry.
-Brad
A+, MCSE NT4, MCDBA SQL7
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Try this link.