[AccessD] This file is located outside your intranet or on an untrusted site

Folks,

I sent a client an access 2003 database in 2000 format.  The file was zipped
when sent.  She extracted it and tried to open and gets the message:

Microsoft Access cannot open this file.
This file is located outside your intranet or on an untrusted site.
Microsoft Access will not open the file due to potential security problems.
To open the file, copy it to your computer or an accessible network
location.

I looked this up and the knowledge base article talks about in internet
explorer security setting.  This seems a little bazar so I thought I'd query
this group on possible causes and solutions.  The client is running Access
XP.  She has Jet 4 and we tried setting the sandbox setting to 0.  No help.
The interesting thing is that I took a preliminary set of files to her
office on a CD and they ran fine on her machine.

I seem to recollect some discussion about this on the list but haven't found
anything.  Any thoughs, or suggestions.

Thanks in advance.

Doug