IE9 keeps telling me that "Your security setting level puts your computer at risk"

Open Group Policy (type gpedit.msc in the Search programs and files field). Go to

Computer Configuration | Administrative Templates | Windows Components | Internet Explorer

Look for Turn off the Security Settings Check feature and set it to Enabled.

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This site suggests you can set HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Security\DisableSecuritySettingsCheck (DWORD) to 0x1 to kill the error message.

The main problem with downloading and running executables with IE is that the download dialog can be tricked into making you believe the file is not an application, but a document (for example by using Unicode characters in the name that change the writing direction so that cod.exe is shown as exe.doc) - especially since you can change the icon of exe files easily. So, the extra prompt for applications does make sense (you can also configure the same prompt for network or removable drives). If you are sure, you can of course disable it. Or use another browser that ignores unicode direction change characters in names that consist only of ASCII letters (where it is useless, unless in some languages like Arabic or Hebrew).

The method described by Nicu Zecheru does work with IE9 in order to get rid of the "Security Risk" banner, however you must reboot for the new policy to take effect. Once rebooted open your IE9 Browser and open the a web page. The only warning that will come up is "Press here if you do not want to see the warning again", close the browser again and reopen and no warning banners will appear after.