This is an old problem, but I still see it from time to time. You are trying to run and executable that you downloaded, and you are on a Windows 2003 system. You double click and get:
As you can see here, I am simply trying to install the windirstat utility to figure out what is taking up all the disk space. If you have drive space issues, and we seem to always have drive space issues, this is a great utility.
The problem is this:
Notice the Security section at the bottom. if you click on Unblock, then it looks like this:
Apply the change and the security section at the bottom goes away, and you can then run the program.