Not using WLM myself but I would imagine it's a question of email scanning. I would turn it off in SecurityCenter > Virus and Spyware Protection > Real-Time Scanning > Settings. You are still protected if you download or store something on your hqard drive.
I suppose it could be Firewall Permissions. In SecurityCenter go to Web and Email Protection > Firewall > Internet Connections for Programs and make sure it has full permission.
Hint: click the word Programs at the top and it will rearrange alphabetically.
Other than that I would contact Technical Support, it's free by phone or online chat and linked below.
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