No it is completely blocked you can't do anything...but I cracked the code:
Microsoft Knowledge Base Article - 290497
http://support.microsoft.com/?kbid=290497
After doing the regedit, I was able to then save to disk the .url file I was trying to see (the eskimo ice fishing) It would not let me open directly.
Look at at list of defaults! Sometimes I feel we are going backwards. (a lot of people are going to be upset with this "feature" and its inablity to disable it)
Thanks!