This page has an unspecified potential security risk.

With Vista (and probably XP and IE7) right clicking on a zip file on a network share brings up an Internet Explorer dialogue:

This page has an unspecified potential security risk. Would you like to continue?

It appears that the OS thinks that your network share is in the Internet Zone rather than the Intranet Zone. This is easily fixed by:

1. Control Panel > Internet Options > Security.
2. Select Local intranet > click Sites > Advanced.
3. Type your server name into the textbox (e.g. If the server is called FileServer just type FileServer) and click Add.
4. Click Close > OK > OK.