How do you install a file downloaded from Internet Explorer?

Internet Explorer 6 Service Pack 2 provides Download Monitoring and Install Monitoring allowing users the choice of whether or not to download and install executables, in two stages. This helps to prevent installation of malware. Executable files downloaded using Internet Explorer are marked by the operating system as being potentially unsafe, and will prompt the user to confirm they want to run the executable every time, until the user confirms the file is "safe".