I had this error today when I tried open Lotus file 1-2-3. Found solution from Microsoft website. (http://support.microsoft.com/kb/922848/). But you have to create the folder to which exemption will apply.
In Excel 2003, there are no trusted locations. You can create an exempt location to override the registry policy settings. To create an exempt location, follow these steps: Exit Excel 2003. Click Start, click Run, type regedit in the Open box, and then click OK. Locate and then click to select one of the following registry subkeys:
HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Common HKEY_CURRENT_USER\Software\Policies\Microsoft\Office\11.0\Common Point to New on the Edit menu, and then click Key Type OICEExemptions for the name of the key. Point to New on the Edit menu, and then click String Value.
Type a string name, and then press ENTER. For example, type ExemptDirectory.
Right-click the string name that you typed in step 7, and then click Modify.
In the Value data box, type the path of the directory that contains the file, and then click OK.
Note You must create the folder. Any subfolders are not automatically exempted. For any additional folders that you would like to make exempt, repeat steps 6-9.