Authenticode is a feature of Internet Explorer that allows users to know that software that they are about to download (or have already downloaded) has not been tampered (in other words, not altered by a third party with malicious intent). It acts as a defense against malicious code.
Authenticode allows the attachments of digital certificates software downloaded from the
Internet including cabinet files, ActiveX controls, exe files, DLLs (dynamic link libraries). If a user tries to download a signed ActiveX control, he/she is alerted with a message telling the end user that the code originates with the developer and hasn't been tampered by a third party. It is then up to the user whether to download, run or to reject the control.
More details at http://technet.microsoft.com/en-us/library/cc750035.aspx