Hello,
This is not a SharePoint specific message (atleast not on our systems), for example I get this message also when opening a MS office document from an attachment in an e-mail. I would guess it is a security setting that comes with Office and/or Windows. Not sure exactly from which update or version you get this, but it is not a sharepoint specific message.
What version of Office are you running? We're using Office 2003 so not sure if you get this kind of message with previous versions of the Offuce suite.
Regards,
Thomas