How to stop Internet Explorer Potential Security Risk alert

Hey all,
Sorry, but this is not about PortableApps, just something that is bugging me sooo much I had to get help. Every time I try to right-click on a group of files/folders on the network, I get this Internet Explorer Security alert.

See this screencast.

Thanks a bunch!

BTW I did that screencast with CamStudio Portable, thanks for making that.

[Moved to off-topic forum by moderator JTH]