Installing a "Blocked" File in XP Pro SP2! Need help!

Hi Guys

I got Windows XP Pro with SP2 and i am trying to install a .reg file that i
know is safe and trusted but i keep getting a window pop up saying that it
was blocked due to security. I see no way to bypass and found these
directions under the search:

BEGIN QUOTE: If you are certain that you trust this file and want to open
it, follow the instructions below.

Save the file onto your computer.
Click Start, click My Computer, and navigate to the file that you saved.
Right-click the file that you saved, and then click Properties.
Click Unblock near the bottom of the dialog box.
END QUOTE

I dont have any "unblock box on the bottom of my dialog box when i do this
and all the available boxes are greyed out.

Any advice?

Thank you very much