- downloaded files and attachements (the same way MSE allows).
Web Shield + Mail Shield active.
- and removable drives in real-time (without having to use the file shield)
I'm not sure what the "without having to use the file shield" means - you have to use the File Shield, there's no other way to protect the files in real time. If you don't want your fixed drives to be protected, add the corresponding exclusion (e.g.
C:\*) into the File Shield's settings.
(Though I don't think it's wise, and I also don't think you really gain much speed that way.)