Your Internet security settings prevented one or more files from being opened

[Christian Findlay]

I have Windows 7 64 Bit SP1 Ultimate. I recently started seeing the error message "Your Internet security settings prevented one or more files from being opened" when I closed Internet Explorer. This error now comes up every time I close Internet Explorer. At first I just ignored it, but now I can't install some software that I need. After the initial few steps of the software, Windows stops the process and gives me the above error but about the file I am trying to install.
I have tried

• 
  [ ]uninstalling my virus scanner (AVG)
  [ ]Put my IE internet settings on the lowest security setting
  [ ]Explicitly, setting the setting "launching applications and unsafe files" to enable everywhere
  [ ]Restored a previous restore point (alas the only one I had was probably after the problem started occurring)

What can I do? What would cause this?

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