I have to save .CSV file from hyperlink. For that when I use following command
it gives an opening alert message like "The file may contain viruses Would you
like to open the file" .For that I have to give "OK" command. How to do this
through macro programming? What is the command available to do this?

ActiveWorkbook.FollowHyperlink Address:="http://example(e.g. csv or pdf
file)", _
NewWindow:=True

(Note : I tried to avoid this alert message, but it requires windows
registry modification. I dont want to do this)