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.

enter at your own risk and keep an eye over your shoulder while you were there

People should already be doing that for the existing intarweb, no?

Until you know who launched this, under what circumstances, and in which jurisdiction, don't assume that it's illegal. In other words, innocent until proven guilty.

I hope by "application" you mean "use" (noun), as opposed to "software product".

BitTorrent, for example, isn't illegal (I hope). Using it to distribute some specific content might be.