Hi whiteBox85, there is a thread regarding a similar issue on StackOverflow:

http://stackoverflow.com/questions/1823339/error-building-visual-studio-2010-silverlight-4-projects-on-windows-7-with-xp-mo

Adding the <loadFromRemoteSources enabled="true"/> under <configuration> <runtime> in devenv.exe.config actually fixed the "This assembly may have been downloaded from the Web" issue for me in VS2010, give it a try.