What does it mean exactly when the file quarantine feature warns you about unsafe file types?

It says here http://support.apple.com/kb/HT3662 that "when you open a potentially unsafe file in Finder, Spotlight, or from the Dock, the file quarantine feature will warn you about unsafe file types. If you open a quarantined file, you will receive an alert asking, "Are you sure you want to open it?" You should click Cancel if you have any doubts about its safety."
Am I correct in thinking that when this ^ appears on the screen, it means the file you're trying to open is unsafe but not totally harmful to the Mac? Which means you can still open it and it won't be much of a problem?

If you know that you went to web site shown and downloaded the file shown at the date & time shown, then it's most probably exactly what you think it is.  If a panel pops up for some software that should NOT have been downloaded -- as in a file that's part of the operating system -- then all sorts of alarms should go off.  This is a classic technique for password grabbers -- you open something like Software Update and are completely expecting to have to type in the username and password of an account with Administrator priviledges, but if it is some nefarious program that you somehow downloaded and has substituted itself in the place of Software Update, then who knows where your password and username are going to get sent off to!  If you got a panel like that and it said "Software Update" is an application downloaded from the internet.  Or "Mail" is an application downloaded from the internet.  Or "TextEdit".  Big alarms!!!
This is why when you are downloading software you should  type in urls directly, or click on them from a search page rather than some random link in an email/ad/etc.  If I type get.adobe.com/flashplayer into the url bar on the browser then I know that I really went to adobe's web site and got the real flashplayer (unless something is REALLY wrong!).  When you click on some link it might be going to anyplace at all -- including places that you don't want to go!  This panel gives you one last chance to double-check that the file you are opening is what you think it is and it came from where you think it came from.

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