This location may be unsafe warning

I’ve create links to files on my computer in the Shortcuts Navigation as per your previous tip. However, when clicking on those links I’m getting the following warning message;

Microsoft Office Outlook Security Notice
Microsoft Office has identified a potential security concern.
This location may be unsafe.
<location to file>
Hyperlinks can be harmful to your computer and data. To protect your computer, click only hyperlinks from trusted sources.

Since I’ve created the links myself and since I’ve now seen this message countless of times already, I will never ever forget to click only hyperlinks from trusted sources. How can I make this warning go away for good?