ASKER
Microsoft InfoPath is a software application for designing, distributing, filling and submitting electronic forms containing structured data. The product features a WYSIWYG form designer in which the various controls (e.g. textbox, radio button, checkbox) are bound to data, represented separately as a hierarchical tree view of folders and data fields. All the data stored in InfoPath forms are stored in an XML format. Secondary data sources can be built into the form or they can be accessed through an external data connection to SharePoint or a Web service.
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Depending on whether you are using code or not you may want to change these or play with them. InfoPath uses your Internet Explorer secutity settings so another options is adding your \\fileserver to your trusted or local intranet locations in IE. This will eliminate these messages as well.
Probably just need to experiment with it for your needs but this is built in security functionality in InfoPath