Downloaded exe files requires me to open the properties of the file and click on "Unblock" because
"This file came from another computer and might be blocked to help protect this computer."
Otherwise when running the exe file I get the error message
"Windows cannot access the specified device, path, or file. You may not have the appropriate permissions to access the item.
How do I set downloads to be automatically unblocked? I have admin access... (OS: Windows Server 2003)
Edit Roy's answer should work, so I accepted it. It doesn't work for me with Google Chrome because of this Chrome bug which currently is still open.