The file server share needs to be added to your trusted zone.
Server is not in the trusted zone, yet
to implicitly trust content from this share, use the control panel Internet Options applet. (Note that anyone that has access to the server can change the file. That's why it isn't implicitly trusted by default.)
Control Panel internet options go to the security tab.
Choose the security tab
open the local intranet sites.
Pick local intranet
go to the advanced settings.
Advanced settings
I needed two different names for the same place. VBoxSvr is the name of the server, and H:\ is a drive letter mapping.
Look at the server shares in the explorer
Add a drive letter
add them both, then close/OK all the way back.
Add the server
No more security prompt!
The three check boxes on the sites dialog also make it work, but I think it is better to be a little more specific with the advanced dialog about which servers are OK.
Craige