Generally this message appars during opening a file or application that is downloaded from internet. You can enable or disable the message by the following process
1. Open Control panel and navigate to Internet Properties option. Now choose "Internet Properties".
or Type "inetcpl.cpl" without quotes on RUN window or in the start search box And hit enter.
2. Internet Properties window will be open.
3. Now navigate to "Security" tab.
4. Choose "custom level".
5. A new window for "Security setting" will be opened.
6. Now search for "Launching application and unsafe files (not recommended)"
7. There you will find the three option. (Disable, enable and prompt .)
By default prompt option will be selected.
8. Work of those options
Disable - This will not allow the file or application to be run.
Enable(not secure) - This will not show any warning before opening the application and file.
Prompt(recommended) - This will ask every time before opening those.
9. Choose the option of your own that what behaviour you want to see for those files and application.
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How to enable or disable "Open file - Security warning " message in windows Xp, Vista and Seven