Edit: For those who have Windows 7 Home or Starter read here to enable the Group Policy Editor.
When you deal with a lot of applications/drivers installations (sys admin?), that retarded warning gets a bit annoying to say the least.
YES I DID CLICK THAT FILE, WHY DO YOU ASK ME, AGAIN? Open it already. I know you care about my security dear microsoft software engineer, but i'll manage it from here, mk?
Sure, one could uncheck the checkbox, but the checkbox applies only to the specific file being executed, not all exes.
Enough blah blah, here's the fix:
Fire up the group policy editor (Run -> gpedit.msc) .
And go to User -> Admin Templates -> Windows Components -> Attachment Manager -> Inclusion list for low risk file types.
Click Enable and add .exe;.msi to the list. (See picture)