Yes, and there's no changing it, even by the user, AFAIK
. Without this box, you could download any number of things to the clients computer without him even knowing (very major security issue).
To accomplish this you would probably have to write an application that the user has to download, but only once. Then you would somehow have to communicate with that .exe program to get permission to download it. It is all very complicated, I don't know how to do it or in what language or anything, but I've seen it done, for example at IGN.com.
Hope that clears things up.