In Word 2003, I have a toolbar that I've assigned hyperlinks to open
frequently used documents.  In Word 2000, I had no problem.  I clicked on
the drop down toolbar & the document would open.  Now, when I click on one
of the hyperlinks on the toolbar, the behavior is strange:
1.  The first time I click on one, I get a message "Opening...filename.
Hyperlinks can be harmful to your computer & data.  To protect your
computer, click only those hyperlinks from trusted sources.  Do you want to
continue?"  If I answer "yes", an hourglass comes up & finally the document
opens.
2.  If I have at least one other open document, I can then click any other
hyperlinks on the toolbar & they open instantly & without any message.
3.  If I close all the documents that were opened that session & then click
one of the hyperlinks on the toolbar, I get the message (but clicking "yes"
allows it to open without delay).

Changing the macro security settings has no affect on whether this message
appears.  The documents are within a sub folder of the My Documents folder.

Can anyone explain what is going on?  In particular, how can I get rid of
that message?
--
Thank you in advance.

Phil