I have it in Trusted Sites. If I put
http://<my server name> in IntraNet zone, when I click to the button to query an Access db I get a dialog stating "This Web site uses a data provider that may be unsafe. If you trust the Web site click OK, otherwise click Cancel." If I click OK I get another dialog stating "This Web site is using your identity to access a data source. If you trust the Web site click OK, otherwise click Cancel."
When I add the site to Trusted Sites I don't get these dialogs.