"Some files can be harmful." message

I have found that at times in Windows XP where I am
running an application on a mapped drive that it prompts
me to download the file as if I was downloading it from a
webpage. I know there is a setting or series of settings
that controls this, as I have been able to work around it
by copying the profile of say, a domain administrator, to
the given users Windows XP profile. However, I would
rather not do this. Please advise.