I'm not sure about this, but I will try to help. It happens to me whenever I download sro, and try to run it. DEP automatically closes it. To change it (VISTA) click
Start->Right click Computer->Properties->System Protection-> Advanced-> Performance Settings->Data Execution Protection.
You should see a list, may be full or empty, doesn't really matter. Click Add, and find the normal Silkroad application that you run legit. If you are using a loader or bot, also add sro_client.exe
I only know how to do this on Vista, so if you have a different version of windows, just google it and you should get your answer :)