"This type of file can harm your computer. Do you want to keep onedrive.eml anyway?" when opening an email that has been exported

Issue
When we export an email, and then go to open it, the following message displays:

"This type of file can harm your computer. Do you want to keep onedrive.eml anyway?" Keep/Discard

We always have to click Keep. Is there a way to stop this message displaying?

Cause
This can be caused due to the settings of the Microsoft Edge web browser and Windows Defender or SmartScreen.

Solution
We recommend you speak with your IT provider who can disable the features or investigate further.