This problem occurs because of changes that were made by the Microsoft Windows Server 2003 Internet Explorer Enhanced Security Configuration component (also known as Microsoft Internet Explorer hardening). Internet Explorer Enhanced Security Configuration reduces a server's vulnerability to attacks from Web content by applying more restrictive Internet Explorer security settings, but as a result, Internet Explorer Enhanced Security Configuration may prevent some Web sites from appearing correctly or from performing as expected. It may also prevent users and administrators from accessing resources on a corporate intranet that have Universal Naming Convention (UNC) paths.

This update only applies to Windows Server 2003.

Microsoft Knowledge Base Article - 816453

Download Internet Explorer for Windows Server 2003 Update
Resultant Set of Policy Tool Does Not Accurately Log Data for Security Zones or for Privacy