The file is an .exe file
That's the reason, then. Any file that looks like it could be 'run' is prohibited. I can't find the current block list for WLMail, but .exe, .scr, .chm and many others are certainly on it. One of the principal reasons for this is that the default setting in Windows since XP is to hide file extensions for known file types. So, someone wishing to distribute malware could name his evil file, say, picture.jpg.exe. This would look like an ordinary image file (picture.jpg) to an unsuspecting recipient.
To send an .exe file by mail, there are two methods that may work.
- Change the extension to something else not on the block list, preferably one that Windows won't know how to open, like .foo. Tell the recipient to save the file and change its extension back to .exe.
- Zip the file (in Windows, right-click and choose Send to > Compressed (zipped) folder. Attach the resultant .zip file to your message.
These will not survive all security barriers that the recipient may have in place, but the file will probably get through in most cases.
Another solution is to upload the file to SkyDrive and share it with the recipient, who can then download it.