Macs try to be good and warn you about opening program files that just came off the internet. For those who download a lot, or for files that get stuck with the warning, here's how to disable that warning, per-item or permanently.
I ran into this problem with my wife's MacBook, which always asked "Are you sure" about Firefox 3.6.6 after an update auto-downloaded. The prompt wouldn't go away, so I went looking and Macworld had the answer.
Using the Terminal, Snow Leopard (10.6) users can enter this command, substituting "~/Downloads" (the Downloads folder inside the user folder) for whatever file or folder they'd like to disable the download warning for.
xattr -d -r com.apple.quarantine ~/Downloads
Macworld offers further code tips for disabling the downloading warning, or "quarantine", on 10.5 Leopard systems and system-wide on any system. It's not something you should do lightly, but if your Mac's download warnings aren't doing more than making you mindlessly click "Open" on every file, you can choose how and when it shows up.
Manage OS X's downloaded file warning system [Macworld]