That's one of the "features" of the Exim message filter. I personally find it quite annoying. I use the Send Link by E-mail feature on IE a lot.
To turn it off check your exim.conf file and look for a message_filter= line. Edit the file listed and look for something like this:
Remove the url extension from there and that should get rid of the problem.
if $header_content-type: matches "(?:file)?name=(\"[^\"]+\\\\.(?:ad[ep]|ba[st]|c
fail text "This message has been rejected because it has\n\
potentially executable content $1\n\
This form of attachment has been used by\n\
recent viruses or other malware.\n\
If you meant to send this file then please\n\
package it up as a zip file and resend it."
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