After downloading a file, it is often Blocked. You must right-click on it, pick Properties and then check the Unblock item:

But doing a dozen or more files gets old, real fast.
I just learned a way to Unblock a batch of files at once. It involves using PowerShell, a Microsoft tool that is a pumped-up version of the CMD (Command) command line tool that has been around as long as Windows has.
To Unblock a folder full of files:
- Hold down the Shift button and right-click in a blank space in the folder

2. Pick Open PowerShell window here. This brings up the PowerShell window

3. In this window, type:
dir | Unblock-File
and press Enter. This will unblock all the files in the current folder. By the way, dir is short for directory, which is the old name for folders
To unblock all files in the current folder AND subfolders:
dir -Recurse | Unblock-File
To see which files will be affected by the command, use:
dir -Recurse | Unblock-File -WhatIf

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