When you get that internet security message it is because your IE settings are set extremely tight (Maximum safety) and at that level anything you download from the net get's "locked" and you can't open it.
The default settings for IE flag all files downloaded and when you run them you get the "This file was downloaded from the net, are you sure you want to open/run it?" message that I think we (any IE user) are well used to.
So that probably explains it. As for how to unlock a locked "internet" file... I've not actually had to do that so I have no idea
(BTW this seems to be a built in windows thing, not associated with the firewall or MSE or UAC, it's like a new file flag in the file system or something)