What are these files like Zone.Identifier:$DATA and how to prevent them?

I found the place to disable them, at least in WinXP. Run gpedit.msc and then configure as below:

That file is for storing an NTFS Alternate Data Stream - it's a feature that basically allows any file to have a number of hidden files inside it.

I think that particular stream is written when you download something from the net - Windows can then display that nice "Security Warning" dialog box when you run it and offer to show you an EXEs digital certificate for example. Going to Properties and clicking Unblock may remove this, and there might be a setting to disable it somewhere in Windows.