Correct me if I'm wrong, but any file you attempt to open that comes from an external source is automatically blocked in Windows - unless perhaps you have disabled protection entirely (in which case you deserve whatever happens)
I'm also thinking that autoexec macros (and in the case of Access, auto-opening form) code won't run because of the above, plus there is always the shift key on open.
In fact I don't think Word or Excel has a shift bypass property, which kind of suggests that you can't disable it, which means Access is actually more dangerous because you can disable it.