Windows Server - Windows Security warning when copying file from network share

I have a Windows 2003 wSP2 running Terminal Server.
I get the Below message when copying ANY file type from any network share.
Windows Security Warning:
Are you sure you want to copy or move files to this folder?
You should only copy or move files from locations that you trust.
Yes   No

I have tried adding the servers to the Trusted Sites in IE as:
file://servername
also tried
file://servername.domain.local

Neither seemed to help.
This is very anoying for users, and I'd like for this warning not to prompt.
If someone has the solution, I'd appreciate knowing it.
Thanks

check your settings for "Drag and drop or copy and paste files" in the
security settings for the zone.  no guarantees...

I have checked the "Drag and drop or copy and paste files" option, it is set
to "Enable" Anyone have another suggestion?

Have you tried adding the share name as well as the server name?

Mike