Hi Regiane,
I don't know if it works but might worth a try. If you have WinRAR or Zip apps. Try selecting the files and compress them (ZIP) and after that, right click the items you zip and go to properties then unblock. Then extract it to other folders to check if it is now working.
The other method is a bit advance it might need admin permission. Press Win + R, type gpedit.msc, and press Enter > Navigate to User Configuration > Administrative Templates > Windows Components > Attachment Manager. Double click "Do not preserve zone information in file attachments" set it to Enabled then click OK.
Note: This change may require administrator privileges and affects how Windows handles downloaded files system-wide. Only proceed if you're comfortable with that.