Security warning box

We've got users on Wyse thin clients connecting to a windows 2003 terminal server. All the settings regarding computer access, folder redirection, etc are handled via group policies. The users desktop, application data folder, and my documents are all redirected to a storage server running windows 2000 server.

If a user has a shortcut on the desktop, it's actually on the storage server. When the user clicks it to open the program, he/she will receive the security warning box (are you sure you wish to run this program?). I've looked everywhere for a solution to this problem, but nothing seems to work.

First thing I saw after googling was to disable IE Enhanced Security Configuration. Both the terminal server and the storage server have this turned off.

Next thing I saw mentioned putting the storage server in either the intranet or trusted sites section of IE security. I've done both of those. The users don't get the security warning box. Now they get an open box (Do you want to open this file?).

I also tried setting up an inclusion list for low risk file types but that did nothing.

Does anyone have any suggestions about what else to try? When I starting working here, this wasn't happening, and I've been very careful not to go switching things without testing them first. I can't think of anything I did that might be causing this to happen now.

Apparently this is only happening on certain users. I just checked a couple of thin client users, and they aren't having this problem.

Is the publisher "unknown"?

What version IE on the thin client and what OS?

I think I got it figured out. I added the IP address to the trusted sites, and it fixed it.