We are building out a new 9.0R2 environment. With that comes new packages. Our existing (8.4) packages download fine without any scary warming messages. Our new 9.0R2 packages, when downloaded via IE with SmartScreen, generate a warning saying the files aren't downloaded very often and adds a few extra clicks to make sure you really want to install them.
Unfortunately, for our current environment, we have 2 packages for each locations (this is something else I'm working on). This means we have over sixty packages available for download currently. This a lot of extra clicks and it also means that some files won't be added as safe for SmartScreen as quickly.