IMHO, just unblock the file.
It all starts with the kix2010_453.zip you download.
before unpacking it with Windows XP or Vista "compressed folders" utility, right click on the zip file, go to properties, take the general tab and click the "Unblock" button.
Maybe also read this, as this started with XP SP2.
Description of how the Attachment Manager works in Windows XP Service Pack 2
The more files you unpack and distribute from the blocked package (with the compressed folders tool in Windows), the more files that are blocked afterwards.