Security Risks

Macros

When a workbook is downloaded from a website and it contains macros (.xlsm)

link - learn.microsoft.com/en-us/deployoffice/security/internet-macros-blocked 

This message might also appear when a file is downloaded from an internal intranet and the location has not been trusted.

Excel Options - Trust Center - Settings - Trusted Locations

Control Panel - Internet Options - Privacy - Sites

Before you open the file, save it locally and change the properties
Right click, select Properties, General tab
At the bottom, untick "Unblock" and press OK