How to avoid the security message when dragging and dropping (from one folder to another), or when opening, an Internet shortcut?

PC Win 10

I have a lot of internet shortcuts to move (to get organized), one by one.

-> My problem is this:

(Too) often

  • when I drag and drop an Internet shortcut from one folder to another;

  • or simply, when I open the Internet shortcut (with a left click);

I get a security message:

“Windows Security:
These files can harm your computer. Your Internet security settings indicate that one or more files may be unsafe.
Do you still want to use them?”

Worning Message

-> How can I stop getting all these messages, knowing that I’m certain there’s no danger?

It’s a real waste of time having to confirm every time…

Thanks for your help 😉

 drag and drop : Worning Message