Unblock? Try Unzip!
I downloaded some files from the internet the other day and it didn't have an installer. I copied them into my Program Files directory (I made a new folder), and created a shortcut to them. Unfortunately, every time I ran the application, I was confronted with a dialog asking me if I really wanted to run this file, as it was downloaded from the internet.
So what I did is right click the file, click properties, and click "Unblock". This takes a long time, especially if you have a few hundred files to unblock. Also, this won't take effect unless you have permissions to those files. For example, if you install a program (i.e. Process Explorer) and you've already copied it to the program files directory as administrator, and your explorer isn't running as admin, you won't be able to unblock those files. You can click unblock and it will look like it worked, but the next time you right click and click properties, it will still be blocked.
My solution was to select all of the files & directories I wanted to unblock, right click, add it to a zip file. Delete the old files, and extract the zip file to the same directory structure. All files are now unblocked without having to manually click unblock on each file.