You are referring to the Open File Security Warning dialog box. While you can uncheck the box for the popup, that only affects that file. If you download another file, you'll get the popup again, even if it is the same file as before. However, there is a way to turn it off for new downloads (all old downloads will still pop up with the warning unless the aforementioned box is unchecked). There are two methods for disabling the popup message.
HKEY_CURRENT_USERSoftwareMicrosoftWindowsCurrentVersionPoliciesAttachments Set SaveZoneInformation to 1.
0 = Not Configured
1 = Enabled
2 = Disabled
You can also set this via Group Policy at the User Configuration > Administrative Templates > Windows Components > Attachment Manager node. Enable the "Do not preserve zone information in file attachments" setting.
This was first published in September 2007