If you want to download an unapproved attachment in Outlook (that it actually already downloaded, but is protecting you from), you have to edit the goddamn registry. Even in Outlook 2010. Apparently it's been this way since Outlook 2000.
Anyway, here's the link to the MSKB, which pretty much says add a string key to HKEY_CURRENT_USER\Software\Microsoft\Office\14.0\Outlook\Security called Level1Remove containing semicolon-separated file extenstions (including the dot) that you wish to be able to download from an email you received. So, it would contain something like ".exe;.jar;.bat" if you can trust yourself to not become the reason email attachment viruses successfully spread.
