What web browser are you using? If IE7 , Open IE7's Internet Options, go to Security tab, Custom Level button, and set "Launching applications and unsafe files" to enable or prompt (located at bottom third of settings list).
Otherwise ,
1. Go to: Control Panel > Internet Options
2. select "Security" tab
3. select "Local intranet"
4. select "sites"
5. uncheck "Automatically detect intranet
network" (leave other options checked)