I searched way to long for this.
I found forums where stupid users reply with “why would you want to do this”…
Just freaking respond to the question. Some users just don’t respond on questions.

Now i found the solution and will post it here. Mainly so i know where to look next time but also for anyone that’s interested.
Here is how i did it:

1. Open Internet Options (start (orb) -> Internet Options (in the search field)
2. Go to the “Security” tab
3. Click “Custom level…”
4. Now you get the “Security Settings – Internet Zone” dialog. Scroll down till you see: “Launching applications and unsafe files (not secure)” and click on “Enable”
5. Click ok everywhere and your done.

Note that doing what i described in the above steps (illustrated in the screenshot) will work for and browser! Those “internet options” are just for files downloaded! they don’t have anything to do with Internet Explorer or Firefox or another browser thus applying this will solve it everywhere (for your user account only!)

That’s it,
Good luck

Edit: a normal full answer on the subject is also provided here