By default, IIS 6 will return a 404 error when it receives a request for a undefined MIME type.  The reasoning behind this is to provide difficulty to someone trying to understand which MIME types are supported by the web server.

However, lets say you only allow static files (HTML) by default for your web sites and if the customer wants dynamic files (ASP) they have to request the functionality in a control panel or something similar. Your customer would upload the ASP file and when trying to view it, they would receive a 404 error. Then your customer would think they've uploaded their ASP file to the wrong location and they would contact support.

A workaround for this is to edit the 404.3 error message for the web site or even at a global level to say 'you haven't enabled dynamic content, please click here to do so'.  For instructions on how to do this, please check out this article.

Otherwise if you don't have that concern, best to leave it as it is!