Do you want to run this file?

I get this popup most every time I open an install .exe file. Maybe I'm supposed to stop, think and realize that "Gosh. I really don't want to run this file! Why the heck did I download it anyway?" But so far, after searching for it, weighing the options and downloading it, I double click it because I want to run it. Is there a way to stop it? I believe it's a part of Windows and not my (Avast) antivirus because I turned off Avast and it still pops up. Is it built into the exe file or is it a windows convenience?
tcebob

It is a part of Windows. I think, and I may be wrong, that Windows does a certificate check on the .exe file and if it isn't a known one Windows will ask if you are sure you want to run it. Is there a way to turn this off? I'm pretty sure there is I just don't recall how to do it.

The reason that popup is there is so that Windows can make sure that it is the user that wants to run that file and not a virus script. I have absolutely no issue with one extra mouse click to maintain the protection that it offers.