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Default XML / XSL security problem

H

We have a download that produces an XML file (download.xml
This file has the following headers
<?xml version="1.0" encoding="WINDOWS-1252"?<?xml-stylesheet type="text/xsl" href="https://www.mysite.com/transformToExcel.xsl" ?<?mso-application progid="Excel.Sheet"?

When an Excel 2002+ user opens this it then loads the sylesheet (if they choose the correct option) and transforms our XML into Excel XML. All excellent stuff..

BU
in Excel 2002 (2003 is ok
if they have High Macro Security then Excel does not load or transform using the stylesheet, it just shows the XML dat
If they have medium security it warns them that there are unsigned macros and, if the select the default 'NO' option, it again does not do the transform

We do not have ANY script in our stylesheet
There are no macros etc

Is there any setting we can control, or get our clients to alter (aside from setting low or medium macro security), that would avoid this issue?
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