When you download or run programs from the Internet, you want to know that the program comes from a known, reliable source. That's why, when you choose to download a program from the Internet to your computer, Internet Explorer uses Microsoft Authenticode technology to verify the identity of the program. Authenticode technology verifies that the program has a valid certificate: that the identity of the software publisher matches the certificate, and that the certificate is still valid. Note that this does not prevent a poorly written program from being downloaded or run on your computer, but it does reduce the chance of someone misrepresenting a program that is intended to be malicious or intentionally harmful.
You can specify different settings for how Internet Explorer handles downloading programs and files, depending on the zone it is coming from.
For example, you might be confident that anything you download within your corporate intranet is safe. So, you might set your security settings for your Local intranet zone to a low level to allow downloading with little or no prompting. If the source is in the Internet zone or the Restricted sites zone, you may want your security levels set to Medium or High. Then, you'd be prompted with information about the program's certificate before it is downloaded, or you may not be able to download it all.