[Search error - Your inernet security settings prevented one or more files

I have two problems which I think may be related. I somehow can't locate my Setup.exe file and when I go to "start" to search for it I get the following message window: "Your inernet security settings prevented one or more files from being opened. "
I'm not sure what settings they mean since I disabled both my Norton antivirus and the windows security.
Anyone else have this problem? Any guidance will be appreciated.