I know this a very delayed answer to a 2009 question. But I had a similar problem today and tried to search for a reply and landed in this page. Later I figured out that the executable file was in blocked stage. Files received from mail and internet downloads are blocked based on security settings and execution will be permitted after review and allow manually. As a one time activity, the executable file can be unblocked (Right click - > Properties -> Click Unblock) after which this warning will not appear.