Sometimes you get a file from the internets, or in an email, which you actually trust. Thing is, Windows doesn’t. This can result in fun and games when you try to use this file or, if it is an archive, files from the archive.
As an example, I downloaded the TouchGestureSample from the Creators Club and I don’t want any messages about un-trusted files in Visual Studio 2010.
Solving this is actually quite easy (and best done before you remove the files from the archive). Right click on the item and then click Unblock to say that you trust this file.
(of course, if you do this with dangerous files it might not have a happy ending)