The "File Download - Security Warning" dialog box opens when you try to open IE7
This problem may occur on a Windows Vista-based computer if the following conditions are true:
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The "Temporary Internet Files" folder is moved to a location outside the User folder hierarchy. For example, the "Temporary Internet Files" folder is moved to another volume.
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The Phishing Filter is enabled.
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Protected mode is enabled.
In this case, the "Temporary Internet Files" folder has insufficient permissions in its new location. Therefore, the Phishing Filter cannot start. When this problem occurs, Internet Explorer 7 cannot start, and the File Download – Security Warning dialog box opens.
This problem may also occur on a Microsoft Windows XP Service Pack 2 (SP2)-based computer or on a Microsoft Windows Server 2003-based computer if one of the following conditions is true:
http://support.microsoft.com/default.aspx/kb/937409