.hta CD application - file download dialog

Hi everyone

I'm making an HTA multimedia application to run off a CD. The only problem
is that whenever I try to run a .hta file, up pops the "Are you sure you
want to do this?...Run from current location / Save" File download dialog
box - even if the .hta is on a CD or my local machine. Is there a way to get
IE to trust my HTA off the CD and remove the dialog without each user having
to fiddle around with the settings at their end?

Many thanks
-Simon Murphy