Disable File Download Message

I am trying to open an application based on a mapped drive
and keep getting a Internet Explorer File Download warning.

I'm using a shortcut on the desktop. The File Download
warning will not allow me to clear the check box that
says "don't show this warning again" It is always greyed
out.

I have tried lowering IE security Settings to nothing and
that does not work. The warning box does not happen on
Win 2k systems.