It may not be AVG - AVG only blocks VIRUSES.
Outlook itself blocks .exe, .bat, etc. type files by the Security Setting. It's a real b!tch, too, because you have to monkey with Tools->Options->Security and the "Zones" outlook uses.
It's real ugly and needs some improvement, in my book. However, MS probably made it this way so people couldn't easily reduce their security levels to accept even more viruses.
If it did NOT do this before, but does it now, you probably had a WINDOWS UPDATE do it for you.
AVG is perfectly happy to let you open up an EXE from e-mail, as it scans it before you see it. Not the safest thing, and it does warn you, but it does not block attachments that I know of (except viruses).
PS: the way around this is have the person re-send the file, but RENAME it to EXP or EX_ etc. Then once you have it, rename it back.