The info in Unblocking blocked attachments in Outlook is useful. I couldn't remember how many time I was asked to retrieve those blocked file back from users' Outlook but I couldn't find any easy way.
Here's how to unblock blocked attachments.
(Substitute the appropriate version numbers for your installation, 12 is 2007, 11 is 2003, etc.)
Add a registry string value under HKEY_CURRENT_USER\Software\Microsoft\Office\<VERSION>\Security called Level1Remove and add the extensions you want with leading dots and trailing semicolons like:
.pst;.rar