Security Warning for unsafe files must be set to prompt (Internet zone).
This policy setting controls whether or not the "Open File - Security Warning" message appears when the user tries to open executable files or other potentially unsafe files (from an intranet file shared by using Windows Explorer, for example). If you enable this policy setting and set the drop-down box to Enable, these files open without a security warning. If you set the drop-down box to Prompt, a security warning appears before the files open. If you disable this policy these files do not open. If you do not configure this policy setting, the user can configure how the computer handles these files.
How this relates to the STIG checklist: STIG vs SCAP benchmark.