User Configuration –> Policies –> Administrative Templates –> Windows Components –> Internet Explorer –> Internet Control Panel –> Security Page –> Intranet Zone –> Launching programs and unsafe files
make gpresult /Z to some text file. Try to find GPO what affect.
Or look at
http://social.answers.microsoft.com/Forums/en-US/w7files/thread/17baf19c-cdd5-4a21-9daa-67e6abb9d566
