Applying GPO to Terminal Server Users in Win 2008

Hello

I have this network:

1x Win 2003 SBS (DC)
1x Win 2008 (DC + TS)

I have the problem that when the users are in TS (Terminal Server), always
jumps out a terrible popup "unable to verify author of the file" when they
launches .EXE files in a networked share.

It is very annoying. I read some internet pages and it seems to be an
internet explorer related setting, so I created a policy and added
192.168.30.* (my network LAN) to the local intranet zone.

I tried to apply it to my users, but in TS it is not applied.

In the OU of the DC I created a sub-OU named TS, and I put it the computer
account of the TS Server. Then I created and enforced a GPO there applying
the loopback GPO action as described on the MS KB.

Then I enforced a GPO at a global domain level that tells that 192.168.30.*
is in the local intranet.

The policy is applied if the administrator login in the SBS server and in
the Win 2008 server, but it doesn't apply when an user logs in (i tried
logging locally) in the Win 2008 TS server.

How can I do to avoid the warning each time I run an EXE file?

thanks