I found this question. The question exactly matches my problem, but the solution doesn't work.

In the Properties window, I see "Security: This file came from another computer and might be blocked to help protect this computer. ((Unblock))". When I click Unblock and Apply, the Security section disappears. But when I go to run it again, I still get the security warning. If I right-click and choose Properties on the exact same thing, the Security section is back, offering me the chance to Unblock it again. So unblock seems exactly as useless as the "Always ask" checkbox.

Anyone seen this before? How do you really Unblock an app that Vista doesn't want to let you Unblock?