I received an Open File - Security Warning windows from XP when I was trying to open a php file from a mapped drive in Windows XP the other day and after that it became a nuisance, popping up every time I tried to open a file.
It looked something like this:
I tried the IP and hostname of the server in Control Panel -> Internet Options and that didn’t fix it (though it had been suggested by several forums and the like).
The fix was going in to Internet Options->Security->Custom Level and clicking the “Launching applications and unsafe files” radio button to the “Enable” setting. The name is pretty sensationalist but such is the M$ way.