You need to tick the Unblock check and Apply, it should remove the whole message. Then, it should stop asking.
Hi, To avoid ZoneID blocking trouble, you can disable the ZoneID blocking completely (you will no longer have to unblock each downloaded files) : - Right-click Windows Start button then click Launch then type gpedit.msc > OK - User Configuration > Administrative Templates > Windows Components > Attachment Manager - Do not preserve zone information in file attachment : Enabled > OK.