"Windows cannot find specified device, path or file.You may not have the appropriate permissions to access the item"

I have encountered this error today when I tried to execute a downloaded file on a Windows 2003 server. The cause of the error was the Internet Explorer Enhanced Security Configuration that is installed by default on a Windows 2003 R2. When you have installed it and try to execute a downloaded file it prompts this error.

To disable it:
1. Add or Remove Programs
2. Add/Remove Windows Components
3. Uncheck Internet Explorer Enhanced Security Configuration
4. Next

More info:
http://technet2.microsoft.com/WindowsServer/en/library/910d7a79-fd6f-447e-9bb1-bc9e57d54ec41033.mspx?mfr=true