Copy Paste Issue with XP Pro

All the sudden I get this message when trying to right click and drag a file
to a directory on our network:

Do you want to move or copy files from this zone?

And it has the words Internet Explorer in the upper left hand corner of the
dialouge box.

Typically when I right click and drag a file to a directory, it gives me the
option to copy or cut and so forth...And this is only happening on network
drives. It works normally on my local drive.

Did I set something that is causing this now? I've rebooted the machine. I'm
running XP Pro SP3. I installed SP3 a couple of weeks ago and didn't have
this problem then. Just started today.

Thanks,
Greg