WinXP SP2 - Annoying security warning

G

grz02

After installing WinXP SP2,
everytime I download e.g. a MPG file from the web
and then double-click it, I get a popup
"Open File - Security Warning"
"Do you want to open this file?" ...etc...

Where exactly is the setting to get rid of this annoyance?
/grz
 

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