This is actually pretty similar. The OS has an alternative data stream(An idea they stole from Mac), and they list what site a exe was downloaded on, or if it came from somewhere else. Others incorrectly called it a flag, when it works by having two different file data streams for a single file, one is the default one.

So for example, a single file can actually contain two different "files"(File data).

So, foo.exe, actually will effectively open the file foo.exe:DEFAULT. You could also add a piece of malware to the foo file in place of a datastream. So foo.exe is legit, but if you open foo.exe:MALWARE , it will open up the malware datastream.

So tldr, how Windows does this, it when you get a file from a third party source(Internet, USB Drive, etc), it adds a new datastream in the form of a textfile. And the textfile contains info about the source. Namely, a number for location it came from(3? for web), and then some more info.