Hi Mr. Troy.
I am Dave, an Independent Advisor, I will help you with this, that is an old setting that is a hangover from previous versions of Windows 10, you can disable that if you wish, but you must be careful what files you then open form the Internet.
Click your Start Button, then just type inetcpl.cpl and press Enter.
On the resulting dialog, on the Security tab, click 'Custom Level'.
In the resulting list find 'Launching applications and unsafe files'
Set that to Enable (not secure)
Save that setting and close the dialog, then restart (not shut down) your PC.