I'm just playing with the Windows 8 Developer Preview and of course, I installed NAnt, too.

I downloaded NAnt as .zip archive (which means it gets the "mark of the web"), moved it to my Program Files directory and tried to launch it. Result was the probably by now well-known security exception:
Unhandled Exception: System.Security.SecurityException: Request for ConfigurationPermission failed while attempting to access configuration section 'nant'. To allow all callers to access the data for this section, set section attribute 'requirePermission' equal 'false' in the configuration file where this section is declared. ---> System.Security.SecurityException: Request for the permission of type 'System.Configuration.ConfigurationPermission, System.Configuration, Version=, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a' failed.
Checking the properties of NAnt.exe, I clicked 'Unblock'. Error still occurred. Opened properties again - the 'Unblock' button was still there. It appears I cannot unblock and I'm not being given an error message.

Well, long story short, I had to extract NAnt to a network share (hosted on a Linux system - try putting hidden stream on that, Windows!) and back to get rid of the "mark of the web".

Works splendid now!