Your email program may just give that warning with anything it doesn't recognize, or it could have an option to prevent certain file types from being attached.
Did you zip the save folder before trying to email it? If so, zip it again (some anti-virus programs can scan within zip files, but most don't handle nested zips).
In Windows XP you can zip a file or folder by right clicking on it in Windows Explorer and selecting 'Send To | Compressed Folder'. Other version of Windows, or to get more features in XP, require a separate program (freeware
archive managers).