MS Access: "File is located outside your intranet"

This message prevents you from opening an Access (or, potentially other files in other applications) as a security precaution.

If you are trying to open the file: \servermysharemydat

then in Internet Explorer 7, go to: Tools / Internet Options and on the Security tab click the Local Intranet icon; click the Sites button; click Advanced; and add the "website" of: \server ... this will appear as file:\server once you click the Add button. Problem solved!