Open File Security Warning question

OK, here's a little oddity...I downloaded Process Explorer from the Major Geeks site today on 2 computers. One is a desktop with Windows Media Center Edition 2002 SP2. All critical updates are installed as of when I last checked on Oct 9/09. When I open attachments in OE, I get the security warning each and every time. When I ran Process Explorer, there was no security warning.

On my laptop, running Windows XP Pro SP2, when I run Process Explorer, I get a security warning each and every time. (I know I can remove the tick mark to make the warning go away for that file only. )

I'm wondering why the difference. I used Opera to download to the desktop and Firefox to download to the laptop, if that makes any difference. I've been looking online, and it appears most people are annoyed by the warning and would like it to go away. I'm not bothered by it, but I am wondering why the Media Center Edition has it and the XP Pro doesn't. And I'm wondering if at some point someone using the Media Center Edition removed a tick from a box somewhere so that the warning wouldn't be displayed.