Some time ago I ran into a problem while opening a application on a Windows DFS share :
All the standard solutions, like internet explorer intranet zones etc. didn’t work.
After some troubleshooting I found out the following group policy setting fixed my issue :
User configuration/administrative templates/windows components/attachment manager
Add the extensions (*.exe, *.mdb etc) of the file’s you wish to open.
The problem should be solved right now.