I am assuming you are an advanced Windows user. That you have Antivirus software installed and are not downloading crap. But now you are faced with this useless security warning?
Well, no there is no easy way. Windows marks the Files with "Zone"-Information.
For every single file in the “Properties-Menu”, one must select Unblock.
To prevent Zone Information to be added to future Downloads – Open gpedit.msc (Run as Admin) Navigate to “User Configuration > Administrative Templates > Windows Components > Attachment Manager”
- Enable “Do not preserve Zone information in file attachments”
In CMD execute “gpupdate /force” or restart Computer.