Disable the Annoying "This page has an unspecified potential security risk" When Using Files on a Network Share

Have you ever right-clicked on a file from a mapped share and gotten this really irritating popup message from Windows? Even more annoying, when you try and drag and drop files from a network share, you get another popup asking “Do you want to move or copy files from this zone?” So what’s the deal?
The Problem
Whenever you try and right-click on a file, like a zip file, you’ll get an irritating popup: “This page has an unspecified potential security risk. Would you like to continue?” It’s even more annoying cause, well, I’m NOT using Internet Explorer!

The problem gets worse… if you try and drag/copy files out of the folder you’ll get the error “Do you want to move or copy files from this zone?”

Very annoying indeed!
The Reason
You are getting this error because Windows is not detecting your local network properly, and assuming that there is a security risk. This all goes back to the concept of “Security Zones” that you might have seen if you’ve ever looked in Internet Explorer’s options panel.
In order to prevent rogue websites or applications from passing a UNC path as a link to run an application, Windows will detect that a UNC path (like \\computername\sharename) is not part of your local network, and prompt you before doing anything that could be unsafe. This security mechanism is definitely annoying, but it really is a necessary evil.
What we’ll do is manually add the mapped drive computer name to the exception list.
Fixing the Problem
You’ll need to open up Internet Options from Internet Explorer’s Tools \ Options menu, or from the Control Panel. Once there, select the Security tab, click on the “Local intranet” icon, and then click on the “Sites” button.

If you only map drives to a few machines, what you can do is click on the “Advanced” button, and then add each machine name with this format:

file://computername

For instance, the name of my file server is superfast, so I put in file://superfast and then clicked the Add button. (Make sure to click the Add button!)

If you have a number of machines on your network, you could alternatively uncheck the “Automatically detect intranet network”, and then check the other three boxes. This prevents you from having to enter each machine name manually, but allowing all network paths is probably not the most secure method, better to manually enter the machine name as detailed above.

Note: I was completely unable to use this method to remove the security popups when using an IP address to map drives. You’ll need to switch to using the computer name when mapping drives in order to remove the messages. Technically we could remove the security popups across the board using the Custom Level button, but that would leave your computer with a security hole, so I’m not going to explain it.
Now that we’ve added the exception, you can right-click on the file without any issues:

You can also copy files and generally interact with the network share without problems.
Note that this should also work in Windows 7.