Q. How does Windows know if a file is downloaded from the Internet?
A. There are many components of Windows that react differently for files downloaded from the Internet. The way Windows knows is for the file it creates an alternate data stream (ADS) for the file which contains a Zone.Identifier that signals it is downloaded from the Internet. To view the ADS use /r with the dir command. For example:
C:\Temp>dir /r MSLogoHistory.png Volume in drive C is Windows Volume Serial Number is CA5B-5BBB Directory of C:\Temp 10/13/2016 10:09 AM 25,312 MSLogoHistory.png 26 MSLogoHistory.png:Zone.Identifier:$DATA
You can even view the content using: