Update (Sep 13, 2007):
You can remove a blocked filetype from the SharePoint Central Administration. There is no such thing as global list. Ignore the message that is shown in SharePoint Central Administration ( .... you must remove it from both global and web application lists).
To allow a file type that is currently blocked, you must remove it from both the global and Web application lists. This is a very common question asked by the users. If removing the file extension from SharePoint Central Administration does not unblock the file, then you must remove it from the web application as well. Change the application in the "web application" drop down by clicking the arrow and selecting "Change web application" and then remove the file type from the list of blocked files.