Windows 7 Why Am I Receiving Download Warning Messages on Windows 7 Professional?

[shO]

So, everytime when I want to DL some file from trusted sites, or when someone wants to send me something over Skype etc.. I get this message...

Link Removed

Then I click OK, and one more time SAVE and everything wortks nice.. But why is that happening...?!

Im running Legit and Genuine version of Windows 7 Professional x86 ( DL'ed from MSDN AA )!

I hope that someone will help me!

P.s. ( BTW this is fresh install few days ago, and everything was good accept this one small problem :S

 

[shO]

Come on people.. THIS IS URGENT!!!!

Thanx in advance!

 

[Colargol]

Try saving to directly to your harddisk instead. C:\ for example, or any other.

 

[shO]

Nah.. thats not what Im asking!
Someone else please...

 

[shO]

Pleaseeeeeeeeeeeeeeeeeeeeeeeeeeeeeee help meeeeeeeeeeeeeeeeee!

 

[Athlonite]

Colargo gave you the answer above if you still have problems make sure you have Administrator rights you may have been set up as an normal user or power user making the Desktop area a protected place as colargo said just save the file to the user name \ downloads folder