How to disable the "Security Warning" when opening a file?

Add the computer from which you are running the file to the Internet Explorer Local intranet (Intranet Zone) security zone.
Step-by-step instructions are shown in the screenshot:

Note that the security level for the Local intranet zone must be set to Medium-Low (default), but not higher; otherwise, the security warning will be displayed.
Also, consider how you access the computer from which you are running the executable file over the network: if you use an IP address, you must add the IP to the security zone nodes; if you use the computer's DNS name, you must add that instead. In either case, the node must be added to the security zone as a network resource, i.e., either \\server or \\192.168.0.1

Examples of .reg files for adding the server computer (1) and IP address 192.168.0.1 (2) to the Local intranet security zone

Code:

Windows Registry Editor Version 5.00

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\Domains\server]
"file"=dword:00000001

Code:

Windows Registry Editor Version 5.00

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\Ranges\Range1]
"file"=dword:00000001
":Range"="192.168.0.1"

The settings are stored in

Code:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\Domains