Many of the downloadable files on this website are provided as ZIP archives. You can unpack these archives with a third-party utility such as 7-Zip, or you can open them directly in Windows Explorer on Windows Vista or later. However, the second method has a significant drawback you should be aware of.
Automatic Execution Blocking
On Windows XP SP2 and later, any file downloaded from the Internet to an NTFS drive is automatically flagged as potentially dangerous, blocking its execution. If you attempt to execute such a file, Windows shows a dialog asking you for confirmation.
ZIP archives are themselves not executable, so the flag that blocks execution has no immediate effect. But when you open and unpack a downloaded archive in Windows Explorer, this “blocking flag” is automatically copied to all unpacked files.
When you attempt to directly execute an unpacked file whose blocking flag is still set, Windows shows its usual confirmation dialog. But a difficulty arises when an unpacked file is not executed directly by you, but indirectly by another application. An example are add-in files for Visual Studio: instead of showing a confirmation dialog, Visual Studio shows an obscure error message and simply refuses to load any add-in whose blocking flag is set.
Unblocking File Execution
The immediate solution is to right-click either on the archive itself before unpacking, or later on each unpacked file individually, and click “Unblock” on the “Properties” dialog. This clears the blocking flag and allows arbitrary execution.
You can also avoid the entire issue by using third-party utilities to unpack ZIP archives. As far as I’m aware, none of them propagates the blocking flag to unpacked files like Windows Explorer does.
Lastly, you can change a Windows “group policy” setting to get rid of this anti-feature once and for all. Please see Stop Automatic Execution Blocking for the somewhat convoluted procedure.