Outlook Express Version 6 (downloadable from Microsoft)will at least tell you that a file is to be downloaded to your PC, and ask you for a confirmation.I usually disable absolutely all downloads using I.Explorer Tools. When I want to specifically download something, I enable downloads and later go back to downloads disabled. Before I got O.Express 6, many times I got the message "Your configuration does not allow to donwload this file" when I was not expecting any download.
I suggest to never ever have the slightest doubt when receiveing a message recommending you to delete a file. I can imagine how the hackers lough at seeing us destroying our systems without them writing a single line of viral code.
Un abrazo - Andrés