What is an "unsafe attachment"
How can I change the settings?

Its a file that could potentially harm your system, what program are you
talking about, Outlook or Outlook Express

Hmmm, lets jump to conclusions,
1. Your in Outlook Express 6 SP1.
2. Your getting a messages that says " OE has removed access ..... unsafe
attachment"

Now that we know what the issue is.....
click tools, options, security, and uncheck the option "do not allow..."