I recently upgraded to Office 2007, I had hung on to 2003 as I didn't like the new ribbon menu. But the old version was starting to cause problems, so a copy of 2007 that I already had was installed.
After a Googling there is a simple fix from http://www.howto-outlook.com/faq/blockedattachments.htm.
Run regedit.exe and create the following key in the registry:
.js. If you need more place a semi colon between each one,
.js;.zip;.hlp for example.
Outlook 2013 users don't need the leading period, and your settings are under
HKEY_CURRENT_USER\Software\Microsoft\Outlook\15.0\Security\ according to Inside Out Microsoft Outlook 2013 by Jim Boyce.