After installing service pack 2 for Windows XP, the following message is received when trying to launch applications from the desktop:

This is the result of Microsoft trying to
protect users from malicious programs. The
message will appear for any shortcut or
executable that is hosted on a network share.
There are two ways to solve this problem. First
you could disable the feature totally. If you
open the local policy editor by running
gpedit.msc at the run window. Dig down to: User
Configuration\Administrative Templates\Windows
Components\Attachment Manager\Inclusion List For
Low File Types
Enable it, and add .exe to the list
There is a big security issue with this.
Internet Explorer uses these same settings. By
changing it ,you are keeping IE from warning
users about running EXE files.
This is the preferred way:
First, determine what server the shortcut is
hosted on. For our example we will allow only
shortcuts that are pointing to server1 to be
launched without the warning.
Open Internet Explorer.
Click on tools, then Internet Options. Click on
the security tab.
Once you are on this tab. Make sure you first
click "Local Intranet", and then the "Sites"
button should light up. Click it.

On the form that is displayed, click advanced

You will be shown a list of sites that are in
the "Local Intranet"
To add your server to the list. Type
file://server where 'server' is the name of your
server. We will put server1 here

Click on Add.
Click OK, on the rest of the dialogs to get out
of the settings for Internet Explorer.
Now we can create shortcuts that point to that
server, and no "Publisher cannot be verified"
dialogs will be shown.