It's probably because the site that the file comes from has been identified by Windows as potentially dangerous. Windows uses security zones to determine whether or not a site is trusted. To learn more about trust and the Internet, see When to trust a website.
Windows assigns all websites to one of four security zones: Internet, Local intranet, Trusted sites, or Restricted sites. The zone to which a website is assigned specifies the security settings that are used for that site.
The following table describes the four security zones.
The security level set for the Internet zone is applied to all websites by default. The security level for this zone is set to Medium High (but you can change it to either Medium or High). The only websites for which this security setting isn't used are those in the Local intranet zone or sites that you specifically assign to the Trusted or Restricted site zones.
The security level set for the Local intranet zone is applied to content and websites that are stored on a corporate or business network. The security level for this zone is set to Medium (but you can change it to any level).
The security level set for Trusted sites is applied to sites that you specifically indicate to be ones that you trust not to damage your computer or information. The security level for this zone is set to Medium (but you can change it to any level).
The security level set for Restricted sites is applied to sites that might potentially damage your computer or your information. The security level for this zone is set to High and can't be changed.
You can change security zone settings in Control Panel, but you shouldn't add a URL to the Trusted sites zone unless you're confident that the site in question is a trusted site.
Click the Security tab, click a security zone (Local intranet, Trusted sites, or Restricted sites), and then click Sites.
If you clicked Local intranet in the previous step, click Advanced.
Do one of the following:
To add a site, type the URL into the Add this website to the zone box, and then click Add.
To remove a site, under Websites, click the URL for the website that you want to remove, and then click Remove.