Windows XP, 7 keep asking me should it run "Lookup.exe"

To remove this message, you need to set windows to trust files on the network drive:

Open Microsoft IE


Security Tab, then select Trusted Sites TICK icon

Press [Sites] button

Add "file://Server1", where Server1 is the server name

Now go back to the security tab and press [Customer level] to allow trusted sites to run programs by
scrolling down list. 2/3 of the way down, under "miscellaneous" section, is "Launching applications and unsafe files (not secure)"
tick "Enable (not secure)"

Also See: