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This happens when you are trying to run a program which is unfamiliar to your system.
If you do not have the option to uncheck the ‘Always ask before opening this file’ option, there is another way:
You can turn off all of these messages by doing as follows:
Open up internet Explorer
Tools -> Internet options
Click on Security tab
Click on custom level button
Under “Launching applications and unsafe files” click enable
Our problem may have been that the program we were running was located on a network and the computer treated it like a program over the internet. Basically, it didnt like it.
This is just one way to solve this problem on some HP systems. There are probably a hundred ways, but most will be basically the same idea.
Hope this helps.