Description:
There is implemented in Outlook 2002 protection avoiding potencial risk of attached executable programs or scripts, Level1 security. Inserting of key in registry enables list of extensions:

HKEY_CURRENT_USER\SOFTWARE\Microsoft\Office\10.0\Outlook\Security\Level1Remove=.exe;.com

For more information in http://support.microsoft.com, searck Level1Remove key word.

Note that after WinXP SP2 bahaves differently, opening is forbidden, it's necessary to save to disk first.