Internet Security Settings for Windows 7

Hello, I am on Windows 7 and like all geeks, I enjoy tinkering with my computer. However, I can't remember what I did, but almost every time a program tries to run an external program already present on the computer, a nice yellow window appears with the following message: "Cannot open these files
Your internet security settings have prevented the opening of one or more files.
Show details :: close"

When displaying the details, the window shows the location of the blocked file (there is never more than one blocked file), and I can then launch it manually. But this doesn't work for everything, especially for installing Visual Studio: certain programs (like command prompts) need to be launched with a parameter that cannot be manually provided. I've searched everywhere in the control panel and even went so far as to reinstall Windows (without formatting, just as an upgrade), but this window has still not disappeared.

Thank you for your help.