Resolved Internet Security problem

Have just started to get a problem when I select multiple folder in My Favourites in Win7.I select a number of files and folders, right click on them and I get the following warning. "Opening these files might be harmful to your computer. "Your Internet security settings blocked one or more files from being opened. Do you want to open these files anyway? "

Don't get the problem if I carry out the same procedure in another folder such as My Documents. If I select a number of different folders in My favourites I get the same problem. Have carried out scans with up to date NIS and Malwarebytes.