I thought this might be the issue when you first posted in the contact form. Brief word of advice: If you had described the problem thoroughly from the get-go, I could have given you an answer right then and there instead of sending you to the forums to ask again, even though the forums really were the appropriate place to ask.

What you're seeing is a security warning that Microsoft added to their file system. All it is is a piece of data that gets attached to the file telling the system that it should prompt you before you run it. It used to be used only by Internet Explorer for its downloads, and then only for certain files like .exe's. Firefox started using it--or trying to--as of version 3.0. Version 3.0 got the implementation right, even though it's annoying as anything they use this stupid feature at all, and then they broke it in 3.5, and fixed it again in 3.6.

If you want to never have to deal with this crappy "feature" again, you have to make some changes to your group policy editor.

- Go to Start | Run in your menu.
- Type "gpedit.msc" and hit enter.
- In the group policy editor, go to: User Configuration | Administrative Templates | Windows Components | Attachment Manager
- Enable the setting that says "Do not preserve zone information in the file attachments".

You may need to be logged in as an administrator to do that.

Firefox 3.0, and as far as I know every version from 3.6 onward, respects the group policy settings and will not attach that warning to files you download. It's possible that newer Firefox versions may also have a setting to turn this off as well.