Have you noticed since upgrading to SP2 when executing files that a windows pops up called "Open File - Security Warning". The Publisher Could Not Be Verified.

If this annoys you, then you can easily turn it off.

Read on...

If once a man indulges himself in murder, very soon he comes to think little of robbing; and from robbing he comes next to drinking and Sabbath-breaking, and from that to incivility and procrastination.

Have you looked in:

Group Policy > User Configuration > Administrative Templates > Windows Components > Attachment Manager.

That seemed to do the trick. I enabled "Do not preserve zone information in file attachments," then downloaded a program and ran it without a warning message. Downloads that were made prior to changing the setting still display the warning however, so those will have to be disabled individually.

Thanks for the tip. 

(I assume there's also a registry setting that could be applied for users of XP Home Edition, but I'll leave it to someone else to do a RegShot and figure it out.)

If once a man indulges himself in murder, very soon he comes to think little of robbing; and from robbing he comes next to drinking and Sabbath-breaking, and from that to incivility and procrastination.

So in summary, here are both methods:

Group Policy Option (Windows XP Professional)

Group Policy > User Configuration > Administrative Templates >
Windows Components > Attachment Manager.

Enable "Do not preserve zone information in file attachments".

Registry Option (Windows XP Home Edition)

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\ Policies\Attachments\SaveZoneInformation

Change SaveZoneInformation to 1.

NOTE:
0 = Not Configured
1 = Enabled
2 = Disabled

If once a man indulges himself in murder, very soon he comes to think little of robbing; and from robbing he comes next to drinking and Sabbath-breaking, and from that to incivility and procrastination.