Stupid security settings!!! Help!!!
 

Right, friend is trying to send me several file son MSN messenger. Not harful in any way, yet when they have downloaded i get the message "Windows has blocked access to this file because it may contain data which could be potentially harmful to your computer". Complete bolox of course!!! Theres a link to click on which tells you how to unblock the file, but the file is nowhere to be found (even with search). How do I reduce the security settings or find the file?