I have had family with me that have used my computer. Yup, they fiddled with things they shouldn't!
In OE6 on an XP Home setup, whenever I got an e-mail with an attachment (a regular and necessary thing for me), when I first click on the paperclip, yes I get a drop-down with the item file name and a 'save' option. But, before the visitors, I used to get a 'double-check' when i clicked on the file name reminding me that opening an attachment might be a bit iffy along with a tick box saying 'don't show this message again'.
Methinks some kind person ticked the box for me! Because now I don't get that 'double check'.
I've been through all the options and can't find anything that might be a check box that will restore that 'double check'.