I have the box unchecked all the time and my AV software scans every file that comes in (and goes out). Any file that gets through my AV software and that provided by my ISP servers is probably safe. If yur AV software is up to date then having OE block every file that may be a virus is simply a PITA.
Doesn't your AV software scan files? Make sure the box "automatically download message when viewing in the preview pane" (Tools, Options, Read) isn't checked as I think this has security issues. When my software has been running properly, I've not had any virus problems and loads have been caught and stopped from coming in.
Oh, and Win ME is rubbish We've just upgraded from ME to XP and a lot of problems have disappeared. Obviously some new ones have popped up to take their place but hat's to be expected. I believe that ME is widely held to be the c**p version of Windows.