Windows Security Error when trying to copy files from mapped drive with DAV

Nextcloud version: 29.0.4
Operating system and version: Ubuntu 24.04

The issue you are facing:

I mapped the WebDAV url to one of my users successfully on her Windows 10 machine.
Every file I try to copy from the newly mapped drive to the desktop I am getting a warning that the files might be harmful to the computer.

I am trying to configure the Internet Option settings and added on local internet sites the IP, the domain name but still the error exists.

Can you please assist? Any ideas? Of course it is a windows thing but I do not know which setting to change.

Anyone has an idea?..