Why so many internet warnings on an unzipped zip file?

I sent myself a zip folder with several pictures in it. When I downloaded the file, selected all the pictures and tried to open them all simultaniously, an internet warning popped up for only one picture. I had to open each photo individually and approve each one individually. Needless to say, it was really, really annoying.

This doesn't usually happen. I regularly download zips and rars that other people have posted online, opened them all and only recieved one warning message. I don't understand. Is it because the zip was made by a Windows computer?

(On a slightly different note, the internet warning is annoying and slightly condescending. No duh it was downloaded from the internet. A very large portion of the time we download it ourselves. That's the kind of obnoxious, inefectual security measures that made Windows infamous.)