I had a problem launching short-cuts to applications delivered by Citrix to my Windows 7 desktop. Double-clicking an application showed a message saying that the program had been downloaded from the internet, and did I want to open it.
Problem was, it hadn't! It was a shortcut to the Citrix PNAgent to run a Citrix delivered application.
After trying a few things such as a group policy edit to classify .lnk files as moderately safe (didn't work), or changing IE9 to allow executables to run from the Internet Zone rather than prompting (worked but generated Internet Explorer security warnings) I hit on a similar issue.
I ran the following command to remove the warning:
icacls "C:\Users\Username\Desktop" /Setintegritylevel (OI)(CI)M