Windows 7 warns me when opening my own shortcuts from the toolbar

The "Links" toolbar in the OS is a magic folder that points to the IE favorites toolbar.

If you browse with windows explorer to "c:\users{username}\favorites" you will see a folder named "Favorites Bar". If you dive into that folder and then click on the blank space in the location area, the path you see is actually "C:\Users{username}\Favorites\Links" which is the same path we see in your security popup.

I was able to create a link to calc.exe on the taskbar toolbar (by dropping a shortcut into the folder in windows explorer) and then open it without any prompting, but when I launched IE and enabled the favorites bar inside that program, clicking on the link in IE resulted in a security prompt and then the taskbar toolbar link started prompting me even after I closed IE, and continues now after a reboot.

I believe that the Favorites bar is actually an "internet zone" and the question should really be framed as "why am I not prompted sometimes".

For a workaround, you can make make a folder called e.g. "quicklaunch" or whatever and then add that as a taskbar toolbar ("new toolbar", then point to the new folder), then hide the toolbar name. You can then back up/restore that folder when you reinstall or move to a new computer (provided the links are valid)