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Yeah, that prompt.  Was added when MS decided to go all draconian on security in XP SP2 (which where is where it was added).  Unfortunately, XP64 was based off SP2 so also had those prompts too.
Doesn't seem to always occur, but sometimes it does that for every single EXE you download.

Actually computer at work is even worse.  For any action you do on a downloaded thing it goes on about "this file is potentially unsafe" blah blah blah, with a Yes/No confirmation dialog.  As it's just a Yes/No dialog, there's no checkbox to disable it (maybe a setting in IE to disable this, although it makes the prompt in explorer) and doesn't go away even if you clicked Yes once before.  Really annoying when you right click » click Yes, then the menu pops up.  Or open ZIP, answer Yes, ZIP folder pops up, extract file » popup comes up _again_...
Probably should take a look at the settings...

Okay, here's how you get rid of it:

Start » Run » gpedit.msc » User Configuration » Administrative Templates » Windows Components » Attachment Manager
Enable "Inclusion list for moderate risk file types" and add ".exe" to the list.