I have a Windows 2003 R2 Enterprise Edition SP2 32-bit machine with all latest patch (as of 1-6-2011). It's a VM.

I have a zip file, including a pdf file, a txt file and a exe file.

If I copy the zip file onto the machine via a shared network drive, I can unzip all the files properly without problems.

If I put the zip file on my web server and then I download it from there, I can only unzip the pdf file and txt file. The exe file is silently ignored.

I searched the web and found somebody reporting similar issue on XP.

If I right click on the zip file downloaded from the web server, at the bottom of the general page, it has a warning message saying that "This file came from antoher computer and might be blocked to help protect this computer"

I understand that I can solve the problem by simply clicking the "Unblock" button and extract the file again.

The things that bothering me is that why the warning message says "might be blocked"? I tried downloading the same zip file from the same web server on to my Windows 7 box with latest patch. It also shows the same warning message. However, even with the warning message, I can extract all the files properly without clicking the "Unblock" button.

Is it a bug in Windows 2003 R2 SP1? Is there any security settings controlling this? How likely will the end user seeing this problem? I want to dig into this because I am worrying people downloading my zip file from my web server might see similar problems. The first thought coming to the user's mind will be the zip file is somehow corrupted. Honestly, I didn't know this "Unblock" feature in Windows before I run into this problem.

EDIT

I just tried it on another Windows 2003 R2 SP1 machine. The zip program doesn't block the EXE file on that machine either. Both Windows 2003 R2 SP1 machines are joining to the same forest.