1. Go into Internet Options, through Control Panel or Internet Explorer -> Tools.
2. Go to the Security tab and select “Trusted Sites”.
3. Click on “Sites”
4. Deselect the “Require server verification (http:) for all sites in this zone” checkbox
5 Add the network computer the executable is located on (i.e. \\server) and click OK
6. Click on “Custom Level”
7. Set the “Launching applications and unsafe files” option under Miscellaneous to “Enable”.

http://social.technet.microsoft.com/Forums/en/itproxpsp/thread/e3008c75-48b4-4a6c-bc14-5a20ce72cd7f