copy code,drag or close
Since Microsoft introduced smart client applications Internet Explorer can be seen as a container for launching “regular” desktop windows applications.
For a long time it has always been strongly recommended that that you do not download an executable file from anywhere on the internet, let alone run it!
So any change in the recommendations is going to be slow to catch on in the developer community let alone the educated user community, things don't change that quickly.
Of course the source of the download is key to ensuring no harm is likely to come from your system and that means it needs an authentic digital signature from a recognised and trusted authority.