You'll need streams.exe from Sysinternals (mentioned above by @ChrisF). I put mine in the c:\Windows folder so if you want it elsewhere, you'll need to change the registry fragment below accordingly.
In your favorite Notepad-like editor, create a file and call it (something like) Unblock.reg. It should contain:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\*\shell\Unblock File]
"Icon"="C:\\Windows\\System32\\Shell32.dll,109"
[HKEY_CLASSES_ROOT\*\shell\Unblock File\Command]
@="\"C:\\windows\\streams.exe\" -d \"%1\""
Once you have it, double-click on the .reg file and click "Yes" when asked if you want to continue.
That's it.
N.B. I've tested and am using this with Windows 7. YMMV.