Note: Answering my own question as a wiki for future reference.
When loading a .Net DLL:
<< NetLink` InstallNET LoadNETAssembly["C:\\Temp\\XYZ.dll"] NETAssembly["XYZ", 1]
I get the error:
NET::netexcptn: A .NET exception occurred: System.IO.FileLoadException: Could not load file or assembly file:///C:\Temp\XYZ.dll'or one of its dependencies. Operation is not supported.(ExceptionfromHRESULT:0x80131515)
Filename:'file:///C:\Temp\XYZ.dll'--->System.NotSupportedException:An attempt was made to load an assembly from a network location which would have caused the assembly to be sandboxed in previous versions of the .NET Framework. This release of the .NET Framework does not enable CAS policy by default,so this load may be dangerous. If this load is not intended to sandbox the assembly....