@jordeliason, Here's a quick explanation from the AMP KB.
The MX Security Appliance will block HTTP-based file downloads based on the disposition received from the AMP cloud. If the MX receives a disposition of malicious for the file download, it will be blocked. If the MX receives a disposition of clean or unknown, the file download will be allowed to complete.
The supported file types for inspection are:
MS OLE2 (.doc, .xls, .ppt)
MS Cabinet (Microsoft compression type)
MS EXE
ELF (Linux executable)
Mach-O/Unibin (OSX executable)
Java (class/bytecode, jar, serialization)
PDF
ZIP (regular and spanned)*
EICAR (standardized test file)
SWF (shockwave flash 6, 13, and uncompressed)
* This includes the inspection of XML-based Microsoft Office file types (.docx, .xlsx, etc...).