This dialog box appears if you try to create a new client project or open an existing project on a Universal Naming Convention (UNC) path. By default, a UNC path is not a trusted location for a project. Your project might not run correctly when you try to debug or run from this location.
A local folder that is mapped to a network, such as the Documents and Settings folder, is not a trusted location. Therefore, solutions that are saved in mapped folders, which can include solutions that have been downloaded from the Internet, trigger this dialog box.