We’re rolling out a new version of Internet Explorer for a customer.  They were on IE6…

During the pilot, they reported this issue.

The error about is actually generated by a Windows feature called the "Attachment Manager".

"The Attachment Manager in Windows can help protect your computer from unsafe attachments that you might receive with an e-mail message and from unsafe files that you might save from the Internet."

It seems I had gotten two things wrong.

  1. failed to configure the corporate internet address as being in the "Intranet" zone.
  2. failed to configure the Attachment Manager at all.

So about that Attachment Manager.
The group policy to configure Attachment Manager can be found in System.Adm.
I created a Attachment Manager only ADM file, which you can download here.

Some reference articles:
Description of how the Attachment Manager works in Microsoft Windows
How To Configure Trusted Sites In Internet Explorer For A Group Policy
Why don’t the file timestamps on an extracted file match the ones stored in the ZIP file?