Open a .MSG file from Network location with MS Office 2007 -

Hi,
I have a problem with opening up .msg files from a network locations with
Office 2007, Windows XP
This is the error message i get
"Cannot open file, \\........... the file may not exsist, you may not have permission to open it, or it may be open in another program. Right click that folder that contains the file, and then click Properties to check your permissions for the folder. "

I´am 100% sure i have full permissions for the file and share.
If i copy the file to a local folder, i´am able to open the file.
Feels like some security setting, but what and where?
(I found some posts that Google Toolbar could have this effect, but never used that one)

Regards
Mats