Unblock downloaded files

[MadDogDean]

Hey all, need some advice.

If I connect to the NAS via the Shared folder I have no problem in transferring files from the NAS to my PC.
If I connect to the NAS via the IP address (as when I Open the NAS via Control Center) every file brings up a warning that the file needs to be Unblocked as it's dangerous and from the internet...

I set the Security of my Intranet to Low and added the NAS's IP address to the list of trusted sites, but still no luck. The files are transferring only locally - nothing through the internet.

Cheers