To configure malware filter in Office 365 you need to access Office 365 Exchange admin center. In order to do that please log in to https://outlook.office365.com/ecp/ and go to protection -> malware filter, as the picture below shows:
Please double-click the Default policy, go to settings, turn on the Common Attachment Types Filter and remove/add file types to configure the filter to your needs.
Afterwards please keep the filter turned on and save changes to the Default policy.
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