How to have downloads be automatically unblocked?

Downloaded exe files requires me to open the properties of the file and click on "Unblock" because

"This file came from another computer and might be
blocked to help protect this computer."

Otherwise when running the exe file I get the error message

"Windows cannot access the specified device, path,
or file. You may not have the appropriate permissions
to access the item.

How do I set downloads to be automatically unblocked? I have admin access... (OS: Windows Server 2003)

Edit Roy's answer should work, so I accepted it. It doesn't work for me with Google Chrome because of this Chrome bug which currently is still open.

Solution 1:

You can use Group Policy to disable this behavior, but I wouldn't recommend it.

Simply unblock the file by right-clicking on it, Properties, General tab – click on the Unblock button.

Group Policy:
run gpedit.msc
User Configuration > Administrative Templates > Windows Components > Attachment Manager
Enable: Do not preserve zone information in file attachments