This is done using NTFS File Streams. There is a stream named "Zone.Identifier" added to downloaded files. When IE7 downloads certain types of file that stream contains:
[ZoneTransfer]
ZoneId=3
The simplest way to set it is to create a text file with those contents in it, and use more to add it to the alternate stream.
Zone.Identifier.txt:
[ZoneTransfer]
ZoneId=3
Command:
more Zone.Identifier.txt > file.exe:Zone.Identifier
Then, the way for you to check it would be to try to open the Zone.Identifier stream and look for ZoneId=3, or simply assume that if the stream exists at all that your user will receive that warning.
It's also important to note that this has nothing to do with permissions. Administrators see the same warning; it's to do entirely with the source and type of file. The entire stream goes away when users uncheck the "Always ask before opening this file" box and then click Run.
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