When running a file from a mapped drive you might get this error.
This is actually a Windows security message, intended to remind users not to open untrusted files downloaded from the Internet, but if you know that there is no security risk in the file, then such a message is meaningless.
I can guide you if you turn off this prompt, but please make sure that the source of all files downloaded from the Internet is secure.
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Search for Internet Options in the taskbar and open it.
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Click "Security" and then "Custom Level":
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In the displayed page, find "Launching applications and unsafe Files (not secure)", then click "Enable", then click "OK" to save the changes.
Now, you should not see this message anymore.
If you are a Windows User, I can actually recommend that you try changing the UAC (User Account Control) Settings.
Search for UAC in the taskbar and open it. Drag the slider to "Never Notify" and click "OK."
Once this is done, many user account control prompts will no longer appear.
Found here: How to Turn off "Open File - Security Warning" message for a specific - Microsoft Community