For a long time, I thought like you, that it was my duty to ward off and protect the "children". After a while, you realize 2 things.
First, it is most likely your duty to inform and educate. Do that. Do it well, do it loud, and do it as often as you can. When someone eventually opens up one of those attachments, it will get around, and peer pressure will make everyone else gun-shy. After a user or two of mine got bit by an attachment, and I had repeatedly warned my users about these things.. I ended up with people at my desk occasionally asking..can you come look at this.. it just looks funny.. it was all about the peer pressure and not wanting to be That Guy who clicked the stupid link.
Second, and I hate to say it, this is what we do, and this is job security. You can't save em all Hasselhoff, if ya did, there would be nothing left to do..