I hate the "Open File - Security Warning" dialog. Fuck up and let me copy my shit in peace.
To disable it,
1) Run gpedit.msc
2) Local Computer Policy -> User Configuration -> Administrative Templates -> Windows Components -> Attachment Manager
3) Enable "Do not preserve zone information in file attachments"
The files you already have are going to keep annoying you.
Theres not much you can do about it unless you redownload it, or copy it to a drive thats Fat32 and then copy it back.