Windows 2003 Terminal Server folder redirection comes up warning message

I have windows 2003 terminal services where the users desktop and start menu is getting redirected to our file server.
The problem is that when users try to open the desktop shortcut. It come sup with a message saying that "open file security warning".Do youw ant to continue.It shows the where file server path.
I have added file server to trusted sites, Intranet sites but nothing worked.
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Malli BoppeAsked:
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Lester_ClaytonCommented:
This is unusual.  Open File Security Warning should not occur, unless your file server is unstrusted or unknown.  Is the file server and the terminal server members of the same domain?

You could try make the following change to your Local Intranet settings.  This would mean it would treat all UNC's as intranet.

 Local Intranet Settings
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