Blocking Executable Attachments
From Lunarpages Web Hosting Wiki
Q: Is there a way that I can filter out all messages that contain executable attachments?
A: We don't have the functionality built into CPanel filters to enable you to block .exe and other binary files at the source.
If you are comfortable with low level editing you can edit your filter file by hand via CPanel Backup, and then insert the .exe filter and restore the filter file from the CPanel -> Backup area. We don't officially support this, but you should be able to find user assistance on our community support forum: