When you download files from the Internet, Windows adds zone information to it and stores it in the file's NTFS alternate steam. Windows 10 shows you a security warning every time you try to open it. Some file types are fully blocked from opening. SmartScreen, a security feature of Windows 10, causes this behavior. But even if SmartScreen is turned off, you still get a warning and need to unblock downloaded files. To save your time, you can add a special context menu to unblock files faster.