Since OSX 1.05, programs downloaded by Safari and other programs like Mail.app get an extended quarantine attribute called com.apple.quarantine. This leads to the behaviour that when starting the program, the user is asked if she really wants to start the program together with the information where the program was loaded from.
This attribute is removed once the user who downloaded the file runs the program. Another way to remove the quarantine flag is the following command (the user running this command needs to be in the
sudo xattr -d com.apple.quarantine /path_to_programm