How to remove: windows has blocked access to these files to help protect your computer.

First, a word of warning: Note that by following my instructions you will remove ALL warnings about unsafe files. You will have to exercise your own common sense when it comes to attachments, zip files and the like. Microsoft seems to think that most windows users are unable to do so, oh, okay, fair point. Any changes you do to your windows installation is at your own risk, blah blah blah. If this makes your PC blow up or eat your pet dog, don't come crying to me.
First, make a shortcut to the group policy editor, This is a program that comes with windows that microsoft don't give you a link to by default. You just have to know it exists. nice.
The policy editor has lots of "fun" stuff, I never knew it existed until recently, It merits further investigation. But for now, we are only interested in the "Attachment Manager".
The first setting I changed, was the default risk level. Reasonable assumption? However it did not work. I pondered. I ranted. I did some googling. Aha! after a lot of head scratching, I found this only is used for "unknown" extensions. Problem was, I didn't know what was known or unknown.
I thought, that maybe it was not using the extension and was using some other bizzare scheme, so lets tell it what to use.
I then found out that windows has a preset list of extensions, this is what it means by "known" eh? Lets replace that with our own list. Notice the list is short, and is not a extension you will normally encounter.
Did the same for moderate.
And low. Bingo! it now will let me unzip my recently download program without any murmur of complaint. What we have done by putting in the "fake" extensions is force windows to use the default (low) for everything.