No. You need to acquire a code signing certificate ($$) from a trusted Certificate Authority and then use code signing tools to apply it to your compiled EXE.

Microsoft's SignTool.exe is the most commonly used utility for this and despite that linked article applies to VB6 as well as .Net. It is included in Windows SDKs.

Microsoft® Windows® Software Development Kit Update for Windows Vista™ is the oldest version currently available online (XP is gone already as XP support is ending).

This involves a lot of effort and money. For casual use it is not worth the trouble. Most people are quite aware they need to unblock downloaded files before using them.