This also applies to Windows 7.

I found the answer to this question on a technet forum.

Here is the deal: You go to copy or delete some files on a mapped network drive and you get this annoying warning as a popup that says “opening these files might be harmful to your computer.”

I’m thinking that’s fine I know what i am doing so lets click through the warning. Can I? Nope.

You have to go into Control Panel –> Internet Options –> security –> intranet sites –>advanced and then add the name or IP (I added the IP) of the mapped drive.