In Internet Explorer:
Tools menu --> Internet Options --> Security tab
Click Local Intranet icon to select it
Click Sites
Check Automatically detect intranet network
Click Advanced
In the Add this website to the zone: text box type file://computername or IP (in your case file://path).
Click Add
Click Close, OK, and OK again to exit Internet Options.
Alternatively, you may uncheck the Automatically detect intranet network, and check the other three checkboxes. This saves you from having to enter each machine name manually, but allowing all network paths is probably not secure.
Also see http://local.nu/HelpDesk/index.php/Open_File_-_Security_Warning
