This is just a quick post for an issue I encountered quite a while ago (this article has been in my drafts since September last year, so I hope I am recalling the details correctly).
Basically, I had a stock-standard advertisement targeted to my machine for testing. The advertisement program pointed to an installer, which when it ran, throws up an “Open File – Security Warning” message box. Obviously you’d typically see this for non-trusted sources, such as network locations and downloaded files, however this was sitting on a trusted UNC path where all programs are targeted, and this issue had never occurred before.
After some brief digging, I found that the message would only appear if the FQDN was used to call the program, but the NetBIOS name was fine. Unfortunately, SCCM uses the FQDN for it’s advertisements, and therefore I had to work out what was going on.
In short, after a bit of Process Monitor use, it appeared that the issue was actually with the .exe making a call to another setup program, which was the actually setup program to install the application. When I found this, I didn’t bother digging any further to find out exactly what was going on, because updating the program to point to the setup program that the original .exe was calling fixed the problem.
So if you have this issue, maybe see if the .exe you’re targeting is just a stub for another setup program, and just target that directly.