Unblocking downloaded files
When you download XrmToolBox application from Internet, Windows will block it so you will face .Net runtime error when using it, or third party plugins may not be displayed.
To avoid this situation, after having downloaded the zip file, right click on this file, click on Properties, then click on the bottom right button "Unblock".
Then you can extract and use XrmToolBox.
The same procedure shall be performed for any third party plugins downloaded as zip files.
Another solution is to execute the following powershell command
gci <your XrmToolBox folder> | Unblock-File