Those warnings appear for a reason as one of Apple’s security measure, but they can be turned off. The download warnings were first introduced in 10.5.x and are a good thing for information’s sake. Malware for OS X first appeared about that time, and that was one of the reasons for the warnings. You do need to be careful where you download files from if they are not your own files from your own FTP account.
But in your case, you are downloading your own files or working with your own server, the warnings can be turned off. This can get a little complicated, and you will need to run some commands in Terminal, the command line interface to OS X.
There are two instances where you will see the warning: when you download files, and when you open files you’ve already downloaded. You do not have to change the warnings in both circumstances; you can just remove the warning from already-downloaded files while leaving the warning system itself active, if you prefer.
The best thing to do is read a few articles about making the changes and explaining the differences between the different versions of OS X and how to selectively turn the warnings off. I can summerize here, but the the two sites linked below are more informative.
Read this article at Apple’s Support site OS X: About the “Are you sure you want to open it?” alert (File Quarantine / Known Malware Detection) and this one at Mac World Manage OS X’s downloaded file warning system | Macworld.