Windows marks downloaded files with a “Mark of the Web” alternate data stream (Zone.Identifier). To stop having to manually click Unblock, you must either remove that marking automatically or prevent it from being created.
On Windows Pro or higher, open Local Group Policy Editor and set “Do not preserve zone information in file attachments” to Enabled under User Configuration > Administrative Templates > Windows Components > Attachment Manager. This prevents Windows from adding the Zone.Identifier stream to newly downloaded files.
On Windows Home, use the registry instead. Run:
Windows Command Prompt
reg add "HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Attachments" /v SaveZoneInformation /t REG_DWORD /d 1 /f
Then sign out and back in. This sets Windows to not store zone information for future downloads.
For files already downloaded, you can bulk remove the block using PowerShell:
PowerShell
Get-ChildItem "C:\Path\To\Folder" -Recurse | Unblock-File
Or for a single file:
PowerShell
Unblock-File "C:\Path\To\File.ext"
Be aware that disabling zone information reduces security because Windows will no longer warn you about files downloaded from the internet.
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hth
Marcin