"Open File - Security Warning" each time I open WinExplorer on toolbar

On image post #19 below buttons Yes / no
"Change when these notification appear"

The fact that so many people are trying to help indicates that the helpers don't experience this problem. I have had the slider set to the default for 8 years and never get Message A.

What still bothers me is, that in both instances of Message A, there is the reference to the internet on the bottom half of the message. I expected that with the first instance since, the link is incorrectly made to internet explorer. However, that's not the case for the second instance. In the Action Settings, you can turn messages off and on. I tried changing various ones to try to get Message A but was unsuccessful. However, I didn't reboot after making the changes and don't know if one needs to do that. I would think that the pertinent message to disable in this case in the one for the Internet.

Is Win 7 on this machine an OEM version?

Yes, this machine came with Win7 installed. I don't follow a lot of what you say, though. You reference Internet Explorer but this has no connection to IE. It's "Exploring" that's involved. This should not even require an internet connection to function because Exploring is just a Windows process.

In the first A message you posted, the second link in the message is going to \Roaming\Microsoft\Internet Explorer. I mentioned that was incorrect and asked you to create a new shortcut on your desktop. You did that and the link was then correct. However, looking around the web, it appears that the little blurb about the internet in the A messages is standard.

I asked about the OEM version because I thought this has to do with a Group Policy setting. Later on, I was looking further around the web about this problem and found a fix for it. However, as I understand it, the fix can't be carried out in Home Premium. One needs to have Pro, Ultimate, etc.

I'm not on my Win 7 system right now so I can't check to see if the setting I have in the Group Policy is consistent with the fix. I'll have to do that later since the golf course is calling. I'll back at you tonight.

C:\Users\NAME\AppData\Roaming\Microsoft\Internet Explorer\Quick Launch\User Pinned\TaskBar is the folder on where the links on the taskbar are stored.
It has nothing to do with Internet Explorer. Just a bad name for a it.

Miloshapiro, did you do what I wrote on post #21

as per my comment in #20, i don't know WHERE you're referring to.
Where is "Change when these notification appear" ?
Sorry if it seems i'm being dense but I don't know where you want me to check that.

This is the link I was referring to-

Disable do you want to run this file prompt in Windows 7 << Windows 7 Home

Turns out, only method one is not applicable to Home Premium.

You can use method 2. You would want to either set a system restore point or save the registry before doing the registry edits.

What's interesting is that when I use method one, there are no file extensions listed when I follow his instructions for the inclusion list. Neither the "inclusion list..." nor the "do not preserve...." items are configured."

This one got me excited because it sounded so promising.
I went to method 2, read up on it. It sounded exactly like what I needed.
I unzipped it in WinRAR, double clicked the poorly-spelled file called Disablepromt.reg .
Followed all the agreement steps, finally getting to the image below, and hoped this would finally be resolved.
Clicked the icon for WinExplorer on the toolbar: same issue; no change.
Likewise for Firefox icon and Snipping Tool icon.
So no progress, darn it.

Would you provide a screenshot of what's in the folder identified in your screen shot.

By the way, I just tried method 1 in Vista Home Premium and it wouldn't work. Since Win 7 is 60% Vista, it's not surprising.

Strange...i cannot drill to that folder. As you can see, the path includes something that starts with the letters Rar, but there's no folders at that point in the path between "P" and S". I wonder if it creates that folder temporarily and then deletes it.
Unless this isn't what you were asking to see?
(Thank you again for your diligence on this!)