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Agnitum Outpost Firewall does it, ZoneAlarm too
Most AntiVirus do too.
Usually they check the extension of the file and if it is in their database of files to block they block it. They don't actually scan the file from what I figured... So I would understand the use of a prog that actually scans .exe or .vbs or .scr files if you send that stuff via email, otherwise the firewall / AV do a good job... As of myself, I don't want any exe, vbs, etc... sent to me via email unless I request them so I don't care about files like that from unknown sources. It really depends on what for and how you use your mail client.
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Palemoon I know what I firewall is. lol :)