In Windows XP SP3, I was encountering this message when I right-clicked on a .zip archive file:
Internet ExplorerIt took several tries before I found an approach that worked for me.
This page has an unspecified potential security risk.
Would you like to continue?
One approach: in Control Panel > Internet Options > Security tab > Local Intranet > Sites > Advanced, add "file://[computername]" using the name of the computer found at Control Panel > System > Computer Name > Change. So, for example, if your computer was named COMP, you would add file://COMP. This did not work.
Another approach: go into the Trusted Sites rather than the Local Intranet, click Default Level, set Allowed Levels to Low, click Sites, and type "\\[computername]" in the Add box. (Note that you could also get to Internet Options via Start > Run > inetcpl.cpl.") But this gave me an error: "Sites added to this zone must use the https:// prefix. This prefix assures a secure connection."
A third approach: Start > Run > services.msc > scroll down and double click on Security Center > Startup Type. Make it Disabled > Stop > Apply > OK. This did not work.
A fourth approach: Control Panel > Internet Options > Security tab > Local intranet > Sites > uncheck Automatic and check all three "Include all" boxes. This worked!
Still another approach, which I didn't try, would involve using the domain name.