The file contains an alternate data stream that indicates that the content was retrieved from the Internet and is not secure. This is a feature of the NTFS file system, one that's unfortunately well hidden because Explorer has no support for showing their content. You can see them from the command prompt with the DIR /R command option. And type their content with TYPE filename:streamname. And delete them with DELETE filename:streamname
Other tricks is to copy the file to a file system that doesn't support alternate data streams, that slices them off the file. A flash drive for example. Or a zip utility.
Later versions of Windows, I think starting with Win7, has built-in support for this in Explorer. Right-click the file, Properties and click "Unblock".
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