autoblock or autodelete files

I'm not sure which, but either MSN or windows is deleting potentially dangerous files without asking me. And when I'm on Messenger service, it auto-declines the file.

I tried doing a search on the forum, but for some reason the page could not be found. And the microsoft database told me to click a link to find out how to edit the potential harmful extension list, but the link led me to protecting outlook express, go figure.

Thanks in adbance for the help.