Open File - Security Warning

I get this annoying warning when I open and .exe file. The warning gives me
the option to deselect the 'always ask when opeing this file', but it
reappears the next time I open the file and the warning is reselected even
though I already deselected it. The warning has a help link on the bottom '
how can I decide what software to run' and all the help links talk about is
downloading which has nothing to do with this warning dialog box. How do I
get rid of this annoying security warning on this file. If I go to
properties for the file, there is an unblock option which I select and apply,
but it too reappears the next time I open the file properties.