We're in the midst of training everyone in our organization on the
basics of SharePoint, and one person from our QA department asked
this
question about the dialog box that comes up when opening documents
("Some files can harm your computer. If the file information looks
suspicious..." etc and you can either click OK to open the file or
Cancel not to):

"Is it possible to remove this message? Almost every document opened
requires an extra mouse click."

My addition to this is can this be done globally, without user
intervention?