Do you think that the average user will read anything before clicking "Yes"?
So make sure that pressing escape, space or return will all do the same thing: fail safe.
And/or maybe reword the question: "This file contains unsafe content which could harm your computer. Protect your computer against this threat?"
Or don't even make it a question: make it an alert box with only one option (ok), and you have to go elsewhere (dive into some menu) to turn on scripting.