cruelsister - thanks for all of Your very informative videos.
FleischmannTV - You often get to the point in Your posts.
To be more precise: Smartscreen (App Reputation on RUN) checks Zone.Identifier file stream.
For a file downloaded from the Internet the content is typically:
[ZoneTransfer]
ZoneId=3
Files without Zone.Identifier file streams cannot be blocked by Smartscreen Filter (App Reputation on RUN).
Archives (zip, arj, etc., no executables) downloaded from the Internet are not blocked by Smartscreen Filter (App Reputation).
Files copied to Fat32 flash drive lose their Zone.Identifier file streams.
The bad guy can download malicious 0-day file, delete Zone.Identifier file stream, pack the file, and upload to the web. You can download the packed file, decompress, run, and get infected.
The Zone.Identifier file stream can be added to file.exe by executing from command prompt:
more Zone.Identifier.dat > file.exe:Zone.Identifier
where Zone.Identifier.dat is a text file with two lines below:
[ZoneTransfer]
ZoneId=3
Some more info:
http://www.sandersonforensics.com/Files/ZoneIdentifier.pdf