Are you sure it is not an outlook setting? This used to happen in outlook express.
In addition to the above also check this, but note that turning off email protection can leave you vulnerable, but infections would stilll be caught if they activated, by the background real-time scanner.
Double-click the taskbar icon to open SecurityCenter
Click Virus and Spyware Protection
Click Real-Time Scanning
Uncheck 'Email Attachments'
See if that makes a difference. If not there's a chance that the attachments ARE infected or are written in a code that resembles malware.
In which case see your Quarantine folder under 'Navigation' (top right) > Quarantined and Trusted Items