In this post, I showed a screenshot of the 'Open File - Security Warning' dialog. But how does Explorer know to show this dialog - and how could you make it show in your own application, or write out the information from your own download application?
When Internet Explorer, Outlook Express, or Windows Messenger in XP SP2 write a downloaded file, they use the IAttachmentExecute interface (I think - the documentation is obscure). This writes an Alternate Data Stream on an NTFS drive, which is named 'Zone.Identifier'. For the HS5Setup program I took the screenshot for, it contains:
(information captured with 'more' - 'type' wouldn't show the stream's contents)
When you open a file (I assume of a limited set of types, but I can't find any configuration for it) Windows checks for the Zone.Identifier stream, and if it finds it, and it's an Internet zone, you get the attachment security dialog.