From the Windows help (if you click "More Information" from the Information Bar context menu):
To stop the information bar from blocking file and software downloads
Click to open Internet Explorer.
Click the Tools button, and then click Internet Options.
Click the Security tab, and then click Custom level.
Do one or both of the following:
To turn off the Information bar for ActiveX controls, scroll to the ActiveX controls and plug-ins section of the list, and then, under Automatic prompting for ActiveX controls, click Enable.
To turn off the Information bar for file downloads, scroll to the Downloads section of the list, and then, under Automatic prompting for file downloads, click Enable.
Click OK, click Yes to confirm that you want to make the change, and then click OK again
The XML viewer (that colors and adds expand/collapse) is an ActiveX control included with IE. Note that disabling the security warning for this control will disable all warnings for ActiveX controls which may not be a good thing. It sounds like you'll still get a warning for first time use of a control (see the additional "Allow previously unused ActiveX controls to run without prompt" option), but I can't confirm that.