We've upgraded from KDE 4.1 and the latest KDE has an extra irritation leading to unnecessary support calls. New icons copied or placed on the desktop lead to a pointless "Warning: are you sure you want to do what you were going to do" dialog. (The real text is "Warning - Plasma Workspace\nThis will start the program:\n[ProgramName]\nIf you do not trust this program, click Cancel\n[Continue|Cancel]").

I don't care that it only asks the first time...this is irritating and what's more irritating is that there doesn't seem to be an option for turning this nonsense off.

You might be able to disable the message(s) via the System Settings--> Notifications. Plasma workspace is listed in there but I don't know if it applies to the messages you've been receiving.

I noticed that whenever you create or copy a .desktop file KDE asks you if you really want to open it the first time, I also think it's really annoying.

I think that this is what the OP is talking about.