Running Batch Files Brings Up Security Dialog Box

We have an NT4 domain and have W2K3 servers in that domain. When attempting to edit or run a batch file we get a popup box that says that some files are malicious and do we want to open it.

Can someone tell me how to access the security policy setting that will allow for the running of the .BAT or .CMD file without the dialog box poping up?

Thanks,
Russ-S