Unblock not taking...

When trying to run a program I downloaded from the net, a dialog pops up
saying it's from an unidentified publisher - which I know. So I uncheck the
"Always ask..." box and say OK, but next time I open the program it pops up
again.

I thought this might have something to do with Vista blocking the program
for coming from another computer, and sure enough I open the properties and
the Unblock button is available. I click the button, hit apply, and then when
I go to open the properties box it's right back again...

It's really kind of a minor inconvenience since it's just one click, but I'd
still rather it go away... Any help?