The blocking is caused by an NTFS stream associated with the file, based on the source the file came from (Trusted, Internet, Intranet, or Untrusted).
You can unblock the file by Right Clicking it, going to Properties, and clicking Unblock. This removes the tag against the file.
You are right in that this behaviour is usually associated with Internet Explorer. I can't say for certain, but as you downloaded it from Chrome, it would seem that Chrome also tags these files if it believe they come from an unsafe source. However, any file that contains this stream will throw the check, not just when trying to run it IE, but it's stored against the file (and any extracted files from it in the case of ZIP files and the like.)
Further reading can be found here.