To have any client trust your cab file you'll need a certificate to sign the cab file. Read some about here:
http://support.microsoft.com/kb/247257[
^]. Unsigned files will always generate a warning. If the clients that download your cab file are under your control (say an intranet) you can generate you own certificate and have the clients trust this certificate by configuring them appropriately. If the clients are all over the internet you will have to buy a certificate like from VeriSign.
Best Regards,
-MRB