I'm really surprised at myself for waiting so long before I removed this friction point from my daily environment. Like almost all developers, we look for the path of least resistance when we're trying to get work done. And I'm going to be generous and say that we're all smart enough to know that we take some level of risk with downloading and executing files from the Internet. So why should we be bothered by Windows telling us that a file we just downloaded (especially intentionally just downloaded) may be unsafe and tries to protect us? I don't care, I want to execute it without all the extra safety precautions. I don't want to have to go into every file I download and click on the "Unblock" button so it will function as expected. I've read some posts that this is unique to Internet Explorer only, but that's not so. My browser of choice is Firefox (haven't had the desire to switch to Chrome yet) and it does the same thing. This is especially true when downloading CHM help files as nothing loads because the content is blocked. Even more so when you unzip a file that is still "blocked" and all the expanded files are now also "blocked." You end up with a bunch of file properties that look similar to this with that not so attractive "Unblock" button at the bottom:
So how can you permanently get rid of it? Well Windows is applying an NTFS stream to the file that keeps what zone the file is originally from. The easiest way is to edit your Group Policy settings (normally handled by your domain settings if you're in a corporate network, but also exists on a personal machine). Since this isn't normally something configured for home use, I'm not entirely sure which versions of Vista it can be found in. The disclaimer on the setting says at least XP Professional SP2. Anyway, you will need to run %windir%\System32\gpedit.msc as an administrator. Next, navigate to Local Computer Policy -> User Configuration -> Administrative Templates -> Windows Components -> Attachment Manager. The setting "Do not preserve zone information in file attachments" is most likely at a status of "Not configured". You will want to go into the properties of it and change it to Enabled. No restarts necessary to apply it.
From that point on, any file you download will no longer have to be "Unblocked."