[ActiveDir] Quick Launch Bar

[Edwin]

I am trying to use roaming profiles on a Win2K3 domain with XP Professional as client.  Roaming profiles seem to be working great except that when you click on the Windows Media Player or Internet Explorer icon, you get a prompt asking if you want to open this file.  This is similar to trying to download an executable via a web site when you get a warning about its potential contents.   What can I do to get rid of this?   Thank you in advance for your replies.   Edwin