Welcome to our community, Kurt
Are you using RoboHelp 6 or 7? If so, there is an option you
may enable called "Mark of the Web" to prevent this.
If you are using an earlier version, you will simply need to
change your browser settings.
Tools > Internet Options > Advanced tab > Security
section > "Allow active content to run in files on My Computer".
Ensure this option has a check mark to enable it.
Cheers... Rick