Microsoft GPO's are going to be the death of me. Recently, after completing a migration to Xenapp 6.5 from an old 4.5 environment — we started to notice annoying security popups when users were launching applications. These popups looked scary, and caused many calls to the help desk, even though the users could get past the warning by simply clicking on "Connect". The exact text was:
"A website wants to start a remote connection. The publisher of this remote connection cannot be identified.
This remote connection could harm your computer. Do not connect unless you know where this connection came from or have used it before.
Publisher: Unknown publisher
Type: Remote Desktop Connection
Remote computer: MyServerName"
And the dialog has "Connect" and "Cancel" buttons.
We managed to avoid this prompt by changing security settings for my Trusted Internet Zone [http://support.microsoft.com/kb/182569]
Specifially, by setting:
ActiveX controls and plug-ins: Initialize and script ActiveX controls not marked as safe for scripting = Enabled
We were able to test if this would work first by modifying the configuration within Internet Explorer 9 on the client itself, and once we proved that worked — we moved forward with pushing out a global change via Microsoft GPO.