My Outlook Express import suggestion is a quick and easy method of gaining access to EXE files (among others) without compromising system security too much.
Reducing the security permissions can indeed open your system up, which is one of the reasons why the service patch defaults the setting to the most protection for you, even if denying EXE files seems a little too overzealous.
You could add a sender or site address to your list of trusted zones which would allow file attachments through, or make a loweer security setting global over your entire system.
My understanding was that you needed access to 1 EXE file, which was the basis of the Outlook Express import response. It is quick and easy and would at least allow you to access the file.
alcudia has posted the simplest solution of all which does not entail any system modifications on your behalf. Ask the sender to rename the file to filename.not or filename.old or similar. One you have got the attachment, save it as filename.EXE and you're off running straight out of the blocks.
This is a common workaround in many companies and academic bodies where network security can prevent many acceptable file types from being transfered. You have the slight inconvenience of asking your sender to rename the files, but it saves much messing around in the meantime and preserves your overall system security.
If you would rather have a global syetm setting with more relaxed restrictions, post again to that effect.