This is due to te security settings imposed on the browser.
Start -> Administrative Tools -> Server Manager -> configure IE ESC
By default, it is on for Administrators and off for users, turn it off for administrators too and click OK. you will not be notified for adding any other websites to trusted sites zone.
You can make this change, but it will make your server less secure. You can also add the site to the trusted sites and they may work. Adjusting the settings on the server can open you open for hackers who take advantage of holes in ie to comprimise your machine.
Thanks
bill