When opening an EXE you receive the following error message: "Windows cannot access the specified device, path, or file. You may not have the appropriate permissions to access the item."

To correct this issue, right click the EXE and select "Unblock". You will now be able to open the file. This annoying "feature" is part of the Internet Explorer Enhanced Security component, if you remove this from add/remove programs you will not have this issue anymore.