One thing that quite annoys me is every time I download the tool, the assemblies are blocked (due to Windows security to prevent rogue assemblies to run on the machine). So, I found a way on how to unblock the assemblies in bulk using PowerShell.
The syntax goes like this:
gci <your XrmToolBox folder> | Unblock-File
gci c:\XrmToolBox | Unblock-File
Edit: a better trick to unblock all assemblies is by unblock the downloaded zip file first before extracting it. Ref: http://support.microsoft.com/kb/942532. Credit to Marco to mention it in Twitter post!
I hope this helps!