Win2003 TS file access

I have a Win2003 Terminal Server (AD not installed). We use an application
which points to another Win2k server for the executable (.EXE). When we try
to run it we are prompted with, "Some files can harm your computer.
ect...... Would you like to open the file or save it to your computer?".
Then we must click "Open" in order to run it. I have read some articles
which say to go to Windows Explorer, click on Tools>Folder Options>File
Types, and uncheck the box "Confirm open after download". The only problem
is that there is NO filetype for .EXE listed here. Any ideas??

Thanks.