1. File open security warning can be gotten rid off by adding your own domain or for that matter any other server/domain to the trusted sites in internet options. It can be done by GPO too its part of my base user/workatation policy I forget which.
2. Check event log for errors related to folder redirection. I'd bet its permissions.
3. Mandatory profile wise again check event log and check permissions. At the very least it should give a reason and we can try and help you with that.