PROBLEM : Windows XP , Vista & Windows 7 displays the following message each time you try to run the software located on another computer connected to the local network (Intranet).

SOLUTION : Click the START button. Select Run, enter gpedit.msc and press OK 

Go to User Configuration >> Administrative Templates >> Windows Components >> Attachment Manager

Add "*.exe" to the "Inclusion list for moderate risk file types" setting.

This policy setting allows you to configure the list of moderate risk file types.
If the attachment is in the list of moderate risk file types and is from the restricted
or Internet zone, Windows prompts the user before accessing the file. ..."

In other words, this allows you to run an .exe from the Intranet zone (network) without a prompt, but it will warn before running one from the Internet.