A lot of this answer is highly speculative. I haven't yet spent much time experiencing (or handling) such an issue. So, hopefully some of this ends up being somewhat useful.
According to some of my published notes (I haven't yet verified this), this may be caused by "Attachment Manager". I suspect that using a Microsoft web browser may be related to this. (This might be one key reason I haven't encountered this much.)
If you right-click a Zip file, and modify the properties, there may be a checkbox that you can uncheck for an individual file. Of course, that method may be a bigger pain in the neck for a single use (but might be better off in the long term).
Another option may be to strip the file of NTFS alternate file streams, by copying the file to and from an SD card that doesn't use NTFS.
MS KB 883260 - Attachment Manager may have more useful information.
From a command line, perhaps use:
SETX SEE_MASK_NOZONECHECKS 1
Although, that might just be for a similar dialog box for executable files.
Perhaps also try:
REG QUERY "HKLM\SYSTEM\CurrentControlSet\Control\Session Manager\Environment" /V SEE_MASK_NOZONECHECKS
REG QUERY "HKCU\SYSTEM\CurrentControlSet\Control\Session Manager\Environment" /V SEE_MASK_NOZONECHECKS
REG ADD "HKLM\SYSTEM\CurrentControlSet\Control\Session Manager\Environment" /V SEE_MASK_NOZONECHECKS /T REG_SZ /D 1
(That last command, in particular, probably requires UAC elevation. Maybe the earlier two REG commands do too. Maybe even the SETX command, to have an effect?) (The difference between HKCU and HKLM is likely HKCU being specific to the user logged in, while HKLM being machine-wide.)
Edit: I added this information:
It looks like
may have a REG_SZ named LowRiskFileTypes which lists file extensions. So if you adjust the list, you may be able to adjust behavior for just ZIP files, instead of taking an all-or-nothing approach that affects other file types. (This is based on information I found at: Forum about Open File Security Warning.)