One of the simplest things you can do to prevent malware from spreading through email in Office 365 is blocking attachment types that are commonly used to send malware. This includes executables (.exe), scripts (.vbs), and macro enabled office documents (.docm).The anti-malware policies in Office 365 have a setting Common Attachment Types Filter that is off by default. I definitely recommend that you turn it on.


                                   

When you turn it on, the following file types are blocked by default:

ace
ani
app
docm
exe
jar
reg
scr
vbe

vbsOffice 365 has an existing list of many other file types that you can add, but in Exchange admin center, there is no method to add your own customized file types. For example, xlsm (Excel macros) is not in the list. You can add your own customized file types by using Windows PowerShell in Exchange Online.

To add your own customized file types to the malware policy, you can use the Set-MalwareFilterPolicy cmdlet. The general process is as follows:

Retrieve the existing list of file types in an array.
Add the new file types to the array.
Set the file types for the malware policy by using the array

$FileTypesAdd = Get-MalwareFilterPolicy -Identity Default | Select-Object -Expand FileTypes 

$FileTypesAdd += "xlsm","pptm" 

Set-MalwareFilterPolicy -Identity Default -EnableFileFilter $true -FileTypes $FileTypesAdd 

Note that when you run Set-MalwareFilterPolicy, you will probably get an error indicating that you need to run Enable-OrganizationCustomization. This creates additional objects in your Exchange Online tenant that allow additional customizations like this one.


                                

After you have added the file types to the policy, they are visible in Exchange admin center. You can modify the the list of file types in Exchange admin center after this point, and it does not accidentally remove the customized file types you added.


                               

Another way to accomplish this same goal is by using transport rules. Create a rule to apply if Any attachment's file extension matches. And then Redirect the message to hosted quarantine. However, this does not give the same options for notifications as using the malware policy. You could probably build the same functionality into the rule if you add enough actions, but I think it's easier to have one central location that controls all of the malware rather than adding rules.