How to get rid of a “Untrusted theme files have been blocked by the system administrator” message on Windows 11?

I have two simple desktop themes with a pointer, a background colour and possibly an image. I have saved them in the themes collection in the settings. I then saved the two themes for sharing, both on my desktop.

When I double-click on either theme I get the message:

Untrusted theme files have been blocked by the system administrator

Is there a simple fix for this?

I’m running Windows 11 (updated). The only weird thing is that I’ve moved my Desktop to a network location.