Some files can harm your computer

Hello,

i have the Problem wenn i open a new dokument in a library i bekome th efollowing Security Warning. "Some files can harm your computer ...".

The following steps have i alrady done.

FileType Dialog disable prompt open.
Move the zon from Intranet to Secure Web ( fine Office Files now work ".doc,.xls")

My problem is i have a library with pictures (.jpg,.gif) an here come the message "Some files can harm your computer" at all times.

any idea, what i can do ?