Windows cannot access the specified device, path, or file. You may not have the appropriate permissions to access the item.
This error occurs even though I have full security permissions on the file and full share permissions and non executable files are opening as expected. This behavior is due to IE security settings, to fix it you will need:
1) Open IE and go Tools -> Internet Options
2) Click Security tab select Local intranet and click on Sites
3) Add "file://server name" (without quotes) to the Local intranet zone, click close OK and OK.
"server name" is the name of your server where the shared files reside.