Vista's confirmation dialog was known for asking too often about this. You might find more about this on google but this is expected Vista behavior.
Read http://lifehacker.com/230866/windows-vista-tip--disable-annoying-need-your-permission-to-continue--prompts to help curb "Sir Obnoxious Naggy McNag."
Since last month when I successfully used a Vista machine to retrieve a HD from an old XP machine with family photo's, etc. the Vista machine is requiring that I right click>properties>unblock every file that's DL'd. Is there a way to turn this off rather then have do it to each and every file I DL? Thanks