This is due to the attachment security setting in your outlook. You can get your user to save the exe file in the local harddisk and open it using windows explorer.
Another method is to disable the attachment security (not really recommended unless you are sure your user won't get virus/trojan infected exe)
To do this, in your outlook,
1) Click on "Tools", select "Options"
2) Click on the "Security" tab
3) Click on "Attachment Security"
4) Select "None" and click "OK"
Done. Note thatthe security is there for a reason, if someone sends the user a bat file with a "format c:" command...