I ran into the same problem and will post my solution for others encountering this issue. In the file "C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\12\TEMPLATE\LAYOUTS\INC\intlcoresettings.js" there is a string variable that controls the text of the message:
IntlCoreStrings.k_strFileAttachmentDownloadPrompt = "You have chosen to download a file that may be harmful to your computer. It is important to be certain that the file comes from a trustworthy source. Do you want to continue?";
This can be changed to any message you like. If you want to completely disable the message altogether you have to modify "C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\12\TEMPLATE\LAYOUTS\INC\Core.js". I will warn everyone that modifying ANY of the files I am mentioning here is NOT SUPPORTED BY MICROSOFT. These files are used globally throughout your SharePoint farm so any changes you make here will reflect everywhere they are used throughout your SharePoint farm. This file can also be overwritten by any SharePoint updates or Service Packs which will cause your change to be lost. I am not advocating this approach but I am trying to shed a little light on this. Both of the Javascript files identified above are referenced from FormServer.aspx page (in \12\TEMPLATE\LAYOUTS). This page contains the XmlFormView control that renders the InfoPath form template to the web browser. Since this control renders the Javascript tags I have not found an elegant way to override Core.js which leads me to this solution. Within Core.js there is a line of code as follows:
var boolCanDownload = UserMessages.ShowConfirmMessage(IntlCoreStrings.k_strFileAttachmentDownloadPrompt, true);
This line of code is calling a function that shows the message box and passes in the string variable to display the message. But if you comment this line out and insert a new line of code as follows:
var boolCanDownload = true;
then you are overriding the message box altogether and the file will download without the end user seeing the message box.