Windows 7 always asks if I want to open toolbar shortcuts (.lnk files)

You need to set the quick launch integrity level to Medium. This can be done by applying the following:

1. Click Start, type cmd.exe
2. Right-click cmd.exe in Start menu search results and click Run as Administrator.

3. Type the following command and press {ENTER}

   ICACLS "C:\Users\USERNAME\Favorites\Links" /T /Setintegritylevel (OI)(CI)M
   

Replace USERNAME when the username of the current user. The system should answer:

    processed file: C:\Users\USERNAME\Favorites\Links Successfully
    processed 1 files; Failed processing 0 files

From now on the warning popup is not shown anymore when you open a shortcut from quick launch.

Ended up being simple -- for some reason creating a shortcut directly from wherever the actual .exe file is works perfectly; creating a shortcut from the shortcuts in the Start Menu already continue to pester one with "are you sure you want to run this" message (see picture above).

In other words,

• create a folder for desired "quick launch" icons
• find a program in C:\Program Files or wherever and create a shortcut from it
• paste that shortcut into the folder you created
• create a new toolbar by right clicking the task bar and point to the folder

That's it.