From help portion of Outlook Express:
"To set security zones
In Outlook Express, security zones enable you to choose whether or not active content, such as ActiveX Controls and scripts, can be run from inside HTML e-mail messages. You can choose a moderate security level that allows most active content to run, or you can choose a more restrictive security level.
On the Tools menu, click Options, and then click the Security tab.
In the Security Zones section, choose an Internet Explorer security zone:
Choose Internet zone for standard use. It is used by a majority of Outlook Express users.
Choose Restricted sites zone to create a more secure environment."
I am going to stick with the "Restricted Sites Zone" since ActiveX Controls and script are one way to slip worms/bugs/virus content into your system. If you have SP2 installed, a notation of blocked content appears above the E-mail telling you what is being blocked and giving you the option to receive/not receive them. The reason is I receive some commercial e-mails. This should not be a problem with e-mail from friends/relatives.