This wont be a firewall issue but rather VirusScan > Real-time protection > Email attachments or Anti-Spam, although the latter would simply throw them into another folder, or even SiteAdvisor which has suddenly started over-reacting to any web page with Google Adsense Ads (reported).
So I think VirusScan may be to blame here but have moved this topic to the general SecurityCenter area for now.
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I found out this is a PayPal issue from a bad template. PayPal and Microsoft are aware of it and it should go away once PayPal fixes it...which is supposed to be today.
Here's the full description: http://www.slipstick.com/problems/outlook-web-bugs-and-paypal-messages-hang/
That's good to know, thanks for pointing it out. I also added a bit about SiteAdvisor to my post above as that has been over-reacting recently. Anyway, at least in this case a soluttion is on the way.
All the best.