I'm assuming that you are not running with an Exchange server and/or don't have access rights to create a root Public Folders in your Exchange server. If you are running on an Exchange server and have the ability to create public folders, let me know because there is a different (and, in my opinion) and better way to accomplish this in an Exchange server environment.
Registry Modification at it's finest.. standard disclaimer: Make a backup of the registry keys in question before changing..
The Microsoft KB Article seems to have gone missing for Outlook 2002.. but it used to be under KB article 290497..
Well, the steps, as I remember them are:
Browse to the regkey:
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\Security
Find the value:
Level1Remove
If the Level1Remove Value does not exist, Add it as a String value
Modify the Level1Remove value to include the extentions you want to allow. (ie: to allow .exe files, type in ".exe" - w/o the quotes). Multiple file types are seperated with a semi-colon (or a ";" - again w/o the quotes if you don't know what a semi-colon is)
Restart your computer to make sure you didn't break anything too badly and you should be good to go.
edit: DOH! Spent too much time writing mine and got beat!