Cannot login

Question: Hi,
When I try to test the its connection with the http://…./wgate/webgui/! a pop-up window appears in the explorer:
‘Some files can harm your computer. If … ‘
After I can only open, save and cancel the window, and cannot login to sap.
Can anybody help?
Thanks

Environment: ITS 6.20, IIS 5.0, Win2000

Answer:
On the IE client do you have XP SP2 or any other popup controlling software stopping it?

Answer:
I have IE 6.0 SP1, win2000

Answer:
Check on the following note:
SAP Note No. 711393

This is likely the same desktop Internet Explorer setting
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