Downloaded files run warning

[malG]

Since I installed XP Service Pack 2 all files I download in IE won't run directly if I double click them. The files properties say: "This file came from another computer and might be blocked to help protect this computer". Next to it there is a button "unlock". After pressing this and "Apply" - all is working fine. How can this "feature" be disabled?

 

[malG]

Anybody?