Shoutbox

You can also apply -dt-'s registry patch found at http://random.thedt.net/servicepack2fixevildeletething.reg
It will mark the "potentially harmful" files as low-risk file types so WLM won't warn you for them and, as a result, they won't be deleted.
Be warned though: by marking those file types as low-risk, other security measurements (even those outside of WLM) might also be affected.