How to solve the annoying Windows 10 pop-up “These files might be harmful”

This morning, I was helping my children copy pictures for a school project to a USB flash drive. The pictures are located on my Linux server, and shared using samba. Each time we copied one to the USB flash drive, Windows 10 helpfully interrogated us with the question, “These files might be harmful to your computer”.

A google search found a solution on Thank you, Google, StackExchange, Mr. Atwood, and Wouter.