As part of Windows 10 testing, I came across this prompt.

Internet Explorer Security
A website wants to open web content using this program on your computer
This program will open outside of Protected mode. Internet Explorer's 
Protected mode helps protect your computer. If you do not trust this 
website, do not open this program.
Name: XXX
Publisher XXX

Do not show me this warning for this program again

When you open a file from a site that is an internet site zone (that is, not in your intranet zone or trusted sites zone) for Internet Explorer 11, you’ll be prompted with the above Internet Explorer Security prompt.

This doesn’t happen for IE11 on Windows 7.

Because there’s a tickbox that lets a user suppress the prompt in future for when that particular program is called, it may just get in the way for users the first time they see it and cause confusion. It’s on a per app basis – once you allow Microsoft Word, it’s allowed for all sites, but that won’t allow Microsoft Excel.

To stop this prompt for commonly used applications, you can use Group Policy to roll out registry settings that would be applied if the user had ticked the box already for that app.

The registry settings live in HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Low Rights\ElevationPolicy\ with a unique GUID for each application.

Here’s a screenshot showing settings for Microsoft Word:

Here’s the raw registry settings:

Windows Registry Editor Version 5.00

[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Low Rights\ElevationPolicy\{342263D0-430D-4325-919B-666CE94C4334}]
"Policy"=dword:00000003
"AppPath"="C:\\Program Files (x86)\\Microsoft Office\\Office16"
"AppName"="WINWORD.EXE"

This can be saved into a .reg file, imported onto your PC, then using Group Policy’s Registry Import Wizard, imported into a Group Policy and deployed. Again, this will need to be done for each application you want to automatically allow.

Edit: I’ve found there’s a possible second location, depending what app the link is trying to call:

HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\ProtocolExecute

Under the specific protocol key, there will be a value for ‘WarnOnOpen’ with the DWORD value of 0 to disable it.