Hi Simone,
You may try the following steps below on how to unblock all the files that you'll be downloading:
- Click Start, type in gpedit.msc.
- Go to "User Configuration > Administrative Templates > Windows Components > Attachment Manager".
- Double-click on "Do not preserve zone information in file attachments".
- Choose the "Enabled" option and click Apply > OK.
- Close the "Local Group Policy Editor" window.
Notes:
You will need administrator access to do the above steps. Previously downloaded files that are blocked will continue to remain blocked until you unblock them manually. Only the files you download after enabling the setting above will avoid getting blocked.
Let us know how it goes.