This is for a network drive. Use "gpedit.msc" trick for local files.

Open the Control Panel
Open Internet Options
Click the Security Tab
Click on Local Intranet
Click on Sties
Click Advanced
Type the drive letter of your file server where the application is located in the “Add this website to this zone” box, e.g. "Z:\"
Click Add
Click Close
Click OK
Close Internet Options by clicking OK
Close the Control Panel

Also see:
http://insurgencymod.blogspot.com/2012/12/pro-tip-reinstalling-windows-7-like.html
http://www.sevenforums.com/tutorials/182353-open-file-security-warning-enable-disable.html

and

Remove the Open File Security Warning in XP, Vista, and Windows 7
http://www.natestiller.com/2009/02/remove-the-open-file-security-warning-in-xp/

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