You are attempting to open a file type that is blocked by your registry policy setting. 

In Excel 2010, the restriction on opening the file can be removed by following the steps below.

1. Click the File tab.
2. Under Help, click Options.
3. Click Trust Center, and then click Trust Center Settings.
4. In the Trust Center, click File Block Settings.
5. To allow the opening of a file that is blocked, click to clear the check box for that file type.
6. Click OK two times.

 

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:

1. Exit Excel 2003.
2. Click Start, click Run, type regedit in the Open box, and then click OK.
3. 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
4. Point to New on the Edit menu, and then click Key
5. Type OICEExemptions for the name of the key.
6. Point to New on the Edit menu, and then click String Value.
7. Type a string name, and then press ENTER. For example, type ExemptDirectory.
8. Right-click the string name that you typed in step 7, and then click Modify.
9. 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.
10. On the File menu, click Exit to exit Registry Editor.