Starting in Leopard (I believe) when you open a file downloaded from the web, OS X asks if you really mean it. While it is intended to stop maliciousness, it is only a source of aggravation for me. While there are some hints here on working around it, it turns out that you can disable it completely using a Terminal command:

defaults write LSQuarantine -bool NO

After that, reboot, and you should be set. (this was inspired by )