I just had a Sharepoint 2007 issue, if you use Sharepoint to store your documents and  then change your file view to “Explorer view” you will get a warning each time you try to open/edit a file stating that it may be unsafe.

I seem to have drilled the problem down and found a solution;

1. This step may not be necessary but still it removed the “mixed zone” warning. You need to add “about:blank” as an “intranet trusted site” (add via: internet options – security – local intranet – sites – advanced).

2. You need to allow for “Launching program and files in IFrame.” found under (internet options – security – local intranet – custom level).