Howtogeek explains what causes the "File Downloaded from the Internet" Warning

Whenever you download any file to your hard drive via your browser, Windows automatically flags it as coming from the Internet and potentially dangerous. As a result when you open the respective file, depending on the type, Windows will warn you with a dialog box or prevent the file from executing altogether until you mark it as safe.

Have you ever wondered how Windows keeps track of this flag on these files, how you can easily (bulk) remove it on files you know are safe, and/or add this flag (along with the protection it brings) to any file?

  What Causes the "File Downloaded from the Internet" Warning and How Can I Easily Remove It?