Every once in a while, I need to do this (usually when I get a new machine), and I can never remember exactly where Sergio’s post is, so I’m re-posting it here so I have a 3% better chance of finding it next time.
This gets rid of the need to click the unblock button when you download zips or whatnot from the InterWEB thing.
Run gpedit.msc, go to User Configuration/Administrative Templates/Windows Components/Attachment Manager, and enable the “Do not preserve zone information in file attachments.” From a command prompt, Gpupdate /force.