OK, this post is more of a reminder for myself, rather than being a tutorial or interesting observation...
When Microsoft Outlook blocks access to a certain attachment (by file type), the magic registry key that needs to be edited (and possibly also created), is: HKEY_CURRENT_USER\Software\Microsoft\Office\12.0\Outlook\Security\Level1Remove (a string value). Note that the "12.0" part may be different depending on the version of Outlook you are using.
Within this key, add the extension of the file types you want to unblock separated by semi-colons, for example: ".chm;.exe"
Microsoft recommends restarting your computer to allow the changes to take effect, but simply restarting Outlook will probably be sufficient...