|It is not possible to prevent the display of this warning, it is built into every Windows XP since SP2 as part of microsoft's new security policy.
However you can get a developer/publishers certificate for EXE files from a certificiate provider like:
http://www.thawte.com or http://www.verisign.com
We use it with our reader installer from here:
As you can see it still gives the message but it will let you know if the file has not been tampered with and also clearly identifies the owner. It does not prevent the file from being infected. It simply serves to tell you that the file is legitmate and not changed since the signing.
Note: DNL files cannot be signed.