To answer my own question, here is what I've found:

"In the IE Internet Security Properties for Trusted sites, deselect the
Require Server verification (https) checkbox. You can then add your filepath
as a site".

"rweide" wrote:

Hi, all,

Whenever I access my intranet webpage that uses office web component, this
message pops up, with 'Microsoft Office 2003 Web Components' as its message
box title -
"This website is using your identify to access a data source. If you trust
this website, click OK to continue, otherwise, click Cancel."

How do I disable this message?

Thanks.