outlook xp

Yes. In OL2000 it required Server side administration. Luckily in OL2002 they moved it into the clients hand (the server side administration still works too). You will want to find the admin tools in the resource kit for Office XP. Here is the link to the toolkit:
http://www.microsoft.com/office/ork/xp/appndx/appa11.htm
(You know to remove any spaces that might appear in the link above)
Follow the instructions.

This can also be done in the registry: HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\Security

Create a new String Value named Level1Remove and as a value, put the extensions you want to allow, eg .exe;.lnk;.bat

More info at http://support.microsoft.com/support/kb/articles/Q290/4/97.ASP (you know the deal, take any inadvertent spaces from the url first....)