"This page provides potentially unsafe information to an ActiveX control. Your current security settings prohibit running controls in this manner. As a result this page may not open".

Somehow the the entry for Cache gets changed. I don't know what the changes it, but it gets changed to C:\WTSRV\Temporary Internet Files which users don't have write access to.

Making sure each user's User Shell Folders Cache value is set to "%USERPROFILE%\Local Settings\Temporary Internet Files\" corrects the issue.

The Entire Key is:

HKEY_CURRENT_USER\Software\Microsoft\Windows\Explorer\User Shell Folders\Cache

If this does not fix the problem, then the only way you can clear it up is to delete both the local and roaming profiles and start over.