Running app from mapped drive thinks it's a file download

windows xp pro client windows 2003 server when trying to
run a program located on the mapped drive on the windows
2003 server windows xp pro pops a security box titled file
download and warns of the harms of downloading this file.
the save and always trust options are grayed out. If you
click the open option the the app runs fine. Also the
mapped drive from the server does not reconnect when the
system is restarted, but you can click on the drive and
enter usr name a pass and it will connect