If there is no "Unblock" button on the file properties dialog, you can try this hack.
Copy the file onto any FAT32 disk drive, for example an USB key (only, be sure it is really formatted as FAT32).
Then copy the file back whence it came. You will be prompted to replace the file with one which is identical. Say yes.
This little sleight of hand will remove the invisible Alternate Data Stream block hidden in the MFT, where the Zone Identifier is stored. Lo and behold, the file is now local and trusted.
Another possibility would be to copy the file using something dumb and different from the Windows CopyFile function, that will only copy visible data. So for example you can also
- ZIP the file (using a non-ADS-aware zip) and unzip it in place;
TYPE FILE > z; DEL FILE; REN z FILE from the command line if the file is ASCII text or HTML (TYPE doesn't deal well with binary files, which will be likely corrupted)
- for non-HTML files: open them with a browser. You will be prompted to "download" the file. Do so. The file has been downloaded from a local site and should be therefore trusted. Move the file from the download folder to the original one.