Here is what Mozilla has to say about the issue.

Starting in Firefox 3, downloads of executable files (e.g., .exe or .msi) may fail and the Firefox Downloads window will contain this message, under the filename:  This download has been blocked by your Security Zone Policy.

This issue occurs because Firefox 3 now honors your Windows security settings for downloading applications and other potentially unsafe files from the Internet.

The rage here is that the Internet Options you see from the Control Panel links back to Internet Explorer 7.  So in a round about wacky way, Firefox 3 follows IE7′s security settings.  Need a fix?

To change the setting, open Internet Options (via Control Panel or from Internet Explorer -> Tools) and click the Security tab. With the Internet zone icon highlighted, click the Custom level… button. A list of security settings for the Internet zone will appear. Find the “Launching applications and unsafe files” setting (under Miscellaneous) and select “Prompt (recommended)”.

If that does not do the trick for you, there are a few more fix suggestions on Mozillazine.org you can try.  So are you upset about this or could you care less?