So you know what you are doing and have Antivirus installed, are not downloading crap and hate useless security warnings nobody cares about?
Well, no there is no easy way. Windows marks the Files with “Zone”-Information.
For every single file in the “Properties-Menu” one must select Unblock.
To prevent the Zone Information to be added to future Downloads – Open gpedit.msc (Run as Admin)
Navigate to “User Configuration > Administrative Templates > Windows Components > Attachment Manager”
Enable “Do not preserve Zone information in file attachments”
In CMD execute “gpupdate /force” or restart Computer.