A security feature exists within many of the Office 365 clients that blocks attachments that might put your computer at risk for viruses or other threats.
Outlook on the web
The example above shows an attachment titled "bucky_badger.exe". If you attempt to click on the image to open/view it, you will see the following message:
Outlook for Windows
Outlook displays the above message for any attachment that has been blocked. The attachment in this example is titled "bucky_badger.exe".
Note: All executable files should be handled with great caution. Please contact the sender to verify that they intended to send it to you and that it is safe to execute. Keep in mind that some viruses are constructed in a way to trick you into trusting that the file is safe to open.
You should not execute any unverified file attachments even if your anti-virus program doesn't detect a threat. It is common for every anti-virus program to miss some new viruses.