"Boz" sent this one in, and it’s a doozy. I have two places for you to look: First is at http://www.scriptinganswers.com/essentials/index.php/2008/02/21/how-do-i-sign-a-windows-powershell-script/, which describes the process I used to sign a script for a new self-paced training video that should be out in March 2008.
The other is in Microsoft TechNet Magazine, where I wrote an article about this. Visit http://www.microsoft.com/technet/technetmag/default.aspx and look for the March 2008 issue when it’s available.
The short answer: Buy (or acquire) a Class III code-signing certificate of the Microsoft Authenticode variety, and use the Set-AuthenticodeSignature cmdlet to sign your script. Not too difficult, although getting your certificate in the proper format may require some perambulations.