Did/Do the cmd files originate on a different machine than the one
where they are being executed and this is happening?
It sounds as if you are just encountering the popup about running a
file that has come from a machine in a different internet zone, but
you could be running into things from software restriction policy
if you have been toying there. If it is just the cmd coming from a
different internet zone, then the behavior is controlled by the
internet security options (that you can access on tools menu within
IE - yes it does apply to more than just IE usage). A common
scenario is a file originating on a machine that is not recognized
as being within the local intranet zone due to different DNS domain,
or changes to the settings of the intranet zone which in the install
default will not cause prompting upon execution.