Right click to unblock?

I had a comment from someone who had downloaded an AVI file. The poster noted he had to right click on it and "unblock" before he could view. This is a new feature in Windows XP since the SP2 update. My experience with it has always been on CHM files, but I am sure it is a similar thing.

My understanding is that it is a safety feature to prevent embedded code from running without your knowledge.