open file security warning in IE10

[nugar]

I have this problem that's just started happening, I have imported my bookmarks from a file and for some reason they all now have .url after them, and whenever I click on one of them to go to the web page I get this popup box with the heading "open file security warning" on it, if I click on open it will take me to the page I'm after but it's getting to be a long winded way of doing it, is there something I need to change so that the bookmarks return to how they should be and can I stop this unnecessary popup from happening.

 

[ThrashZone]

Which file type did you Export as/ HTML ?
Which browser did they come from Chrome or Firefox ?
Review this for Import instructions,
http://www.sevenforums.com/tutorials/86795-internet-explorer-import-export-favorites.html