Workaround Open File Security Warning?

We want do distribute a product presentation as a Flash projector file
(.exe. file) on CD-ROM. When started, this file generates the Windows XP
Open File Security Warning (“The publisher could not be verified. Are you
sure you want to run this software?”). We don’t want our customers to be
exposed to this warning.
I guess the warning is triggered because our projector file lacks a digital
signature. Is there a simple way to add such a signature to the file? Or is
there some other workaround, addressing this problem?