Just trying to load some new software on an SBS 2003 server - it was actually some ISA log reporting software to show who had done what and when with the internet connection at a client site.
I got the error ...
Windows cannot access the specified device, path, or file. You may not have the appropriate permissions to access the item.
I assumed it was a fault with the download or the program, not with Internet Security application launch permissions! Only when I tried to run another program did I realise it was a server issue.
Leo had the fix over on his blog
basically you have to go into IE Internet Options > Security > Internet zone
Click teh custom level box and find 'Launching applications and unsafe files' towards teh end of the Miscellaneous section.
Change it from Disabled to Prompt. I think the change may have come in with the install of Internet Explorer 8 on the server.