Windows sets zones and decides what files to block based Security Zones. You should check there first.
That is probably why the above answers do not help you. Files on your machine fall under the Local Machine Zone. Those of us that have used IE 4 and 5 probably remember this setting. Starting with IE 6 and XP, the Local Machine zone was locked down and disappeared from the Security tab. There are several ways Windows detects if a file originated from outside the Local Machine Zone. One of the ways is partially shown above, with the unblock button. Files downloaded from a more restrictive zone are marked.
Go under Internet Explorer or Control panel and go to Internet Options. Under Internet Options, click the Intranet zone. It should already have the autodetect intranet option checked. Now click Custom Level and look under Miscellaneous and look for Launch Applications and unsafe files.
Make sure it is set to Enable. If you go into the Internet Zone and do the same thing, it will make it to where you do not get prompts when you run downloaded files. Windows marks files downloaded from the Internet using the alternate data stream. Files from other zones are just straight up intercepted and that's how you get the prompts.
Another method Windows detects files from otherzones is by URL or Network Protocol. If you turn off intranet settings and have a DNS server point a URL back onto a webserver hosted on your local machine, you can get Windows to give you the same warning prompt.
UNC paths are included in the Intranet.
This is a list of the Zone settings.
More Mark of the Web info:
This is probably the best blog post about Mark of the Web and Internet Security Zones.
This is also a good blog post. Especially because it concentrates, not on dumbing down or getting rid of the warnings, but rather talks about why the warnings show up in the first place. It isn't a How-To, but a rather Why-Is.