It happens many times that we get a security pop up and we haven't handled it some of our automated QTP scripts which invoke exe files on those remote locations.
Following steps would help eliminating the issue once for all:
1) Click Start, Run and type INETCPL.CPL
2) Select the Security tab, Trusted sites
3) Click Sites button Add the IP address or hostname of the remote computer to the list(You can also add the network shares to the Local Intranet zone.)
4) Uncheck Require server verification (https:) for all sites in this zone and click Close
5) Click OK, OK and close the dialog
The methodology works only for Windows.