Unblock a Windows File

Yesterday I downloaded a file and tried to install it on a Windows server. I got the cryptic error message "Windows cannot access the specified device path or file" when I tried to run the exe file. To solve this problem, I needed to right-click on the file and go to Properties. Near the bottom of the dialog, there was a button to "Unblock" the file. After I clicked "Unblock" and "Apply", I was able to run the file. Note, I assume you have to be logged on to the server as administrator in order to unblock a file.