See
http://support.microsoft.com/default.aspx?scid=KB;en-us;q291387 - or
help | readme in OE. The options you want are in tools, options, security.
Make sure you have good AV software that scans mail!
Also note:
You will probably get a faster and more expert answer if you post OE
questions to an
Outlook Express news group.
Try posting in one of these newsgroups:
microsoft.public.windows.inetexplorer.ie5.outlookexpress for OE 5.x
microsoft.public.windows.inetexplorer.ie55.outlookexpress for OE 5.5x
microsoft.public.windows.inetexplorer.ie6_outlookexpress for OE 6.x
microsoft.public.internet.outlookexpress.mac for OE for Macintosh
If those groups aren't carried on the news server that's carrying this group
try using msnews.microsoft.com (MS's public news server that's the source
for all the microsoft.public newsgroups).
A good website for information on OE is:
http://www.tomsterdam.com/