On Windows 2003 Servers by default you cannot double click on an exe that is located on a file share or you will get the following error:
"Windows cannot access the specified device, path, or file. You may not have the appropiate permissions to access this item."
To get around this issue you can copy the file to your local drive, right click on the file and select properties. On the bottom of the General screen you will see a warning that the file is from another computer (This file came from another computer and might be blocked to help protect this computer) click "Unblock" and you can now execute the file.
or Uninstall the "Internet Explorer Enhanced Security Configuration".