Right click the file name, choose Properties, go on to Permissions, and
make sure Execute is NOT checked.

The dialog is a security thing, to make sure you don't accidentally run
something that is declared as Executable without being sure it's not
harmful. If you uncheck "Allow executing as a program" in the way I
described, the problem doesn't exist.

If you have any (trusted!) script files you'll want them left as executable.

Not sure if you can do this en bloque, I have a lot of text files with
this flag set inappropriately, but I can't be bothered to go and set
them all right. I guess chmod on the command line would do it, but I
can't remember the correct numeric code offhand that you'd need.