As you may already know, Advanced Threat Protection (ATP) has been supported and integrated with SharePoint and OneDrive for quite some time now.
Well, good news, Microsoft Teams is now getting ATP support too, providing better security for files uploaded.
If you already have turned on ATP for SharePoint and OneDrive, you have nothing to do; ATP has been automatically integrated with Teams.
If not, and you have the appropriate licensing (Office 365 E5, ATP Plan 1 or 2), then go to your Security & Compliance portal (https://protection.office.com) and reach the Threat Management\Policy blade
Then go to ATP Safe Attachments and enable ATP for SharePoint, OneDrive and Teams