Always ask really does mean always ask!
A little thing with Windows Vista Security Warnings is their ability to popup even if you tell them not to!
Everytime I start PuTTY by double clicking on the file,I get a Security Warning saying "The publisher could not be verified. Are you sure you want to run this software?"
I always click "Run" because I like using PuTTY for connecting to my school computer. The PuTTY I'm using is coming from a trusted source so I decided to uncheck "Always ask before opening this file."
Sure enough, next time I open the program again I get the same security warning.
There is a way to fix this though.
To do this, you must "Unblock" the application from it's original file location. By original file location I mean the location where you downloaded it to. If you move the file before unblocking, you will never be able to unblock the file unless you delete it and redownload the file. If the file you need to unblock came in a zip, you need to unblock the zip before extracting the contents.
To Unblock an application, right click on the file and goto Properties. In the general tab, click Unblock.
Now you can move the application to any folder you want, and will not get the annoying popup ever again!