It's a standard IE warning messageThe simplest answer is to tell your customers to save it to a known folder, then run it. That way they don't see the warning. Probably 99%+ of our users (plus many shareware software authors) simply do this, so your more experienced customers won't be concerned in any case.
Another (more complicated) answer is to authenticode sign the EXE. This unfortunately doesn't remove the warning, but instead gives a different warning (Do you trust publisher X? Default being no (I think)...which means no download).
Another users is currently investigating the authenticode process (and I hope will get back to me), so hopefully we'll be able to share more detailed info on what's involved (it's non trivial, search for authenticode at microsoft.com ).
