If you see “Open File – Security Warning. We can’t verify who created this file. Are you sure you want to run this file?” message when trying to run screen saver, please try adding your network drive to Local intranet.
Note that this does not work for UNC or file:// addresses that use an IP address (e.g. \\126.96.36.199\share), but you should use NetBIOS name (e.g. \\server\share).
For more information please read Intranet site is identified as an Internet site when you use an FQDN or an IP address.