Unable to run programs properly

Basically, when I try to open any program (such as Microsoft Word or Paint) it sends me to a small window that gives me three options. "Run, Save, or Cancel."

Clicking all three does nothing, as I am sent to the same exact window if I press Run.

Note that I'm not given the option to "Open With" so this is a completely different problem.

The name of the window is "File Download - Security Warning."

I have a Windows XP.

To add, if I want to run things properly I have to right-click then click "Run as..."
Then uncheck "Protect from unwanted activity"

But I didn't have to do that every time I try to run a program. Nothing I try to open works, except Internet Explorer. Everything else is kaput.