This feature was added in Service Pack 2. To unblock a file which was downloaded from another computer do the following:
1. Right-click on the file in question.
2. Click Properties
from the context menu
3. In the box that appears, click the Unblock
4. Click OK
Windows XP SP2 and higher marks files downloaded from another computer with an NTFS named ADS called Zone Identifier. Any file containing this data stream will be blocked.
There are several ways to strip a file of this stream. One is mentioned above. Another is to copy the file in question to a drive formatted in another filesystem (FAT32, for example) and then copy it back again. Windows strips out ADS's when copying files to other filesystems that don't support ADS's. Yet another method is to use an ADS editing program to manuall delete the stream.