[MrGilbert]

You can configure it in a way that it won't allow you to run it at all, but out of the box, you will receive a message which forces you through three clicks. Enough to scare off people with no deep knowledge.

And yes, you can turn all of that off.

[TrajansRow]

Why isn't the author getting that warning then? Is it because he's only testing the tool on the same machine that it was built on?

[pjmlp]

Yes, downloaded files have a specific attribute, and unless you explicitly unblock the file, it will give a warning.