My Little Program about manipulating the zone identifier for downloaded files appears to have struck a nerve with commenter Tess, who launched into some sort of diatribe about how Microsoft should stop being a busybody and warning users about opening files that they downloaded.
You are welcome to disable the feature if it offends you so.
In the Group Policy editor, go to User Configuration, Administrative Templates, Windows Components, Attachment Manager, and enable Do not preserve zone information in file attachments.
For bonus points, you can set a bunch of other policies to make your computer even more dangerous. Here's a list of them. For example, if your goal is to create the most insecure deployment of Internet Explorer, you can set Inclusion list for moderate risk file types and Inclusion list for low risk file types both to
*.*, and then on top of that, set Launching applications and unsafe files to Enabled (not secure) so that Internet Explorer never warns you about running anything.
Welcome to 1995. Enjoy your stay.