When a .NET project is stored on a network share, a "project location is not trusted" warning will appear if you attempt to connect to it via a UNC. This happens because UNC locations are not trusted by default and must be added into the Local Intranet Zone security policy in order for them to work without erring. This can be done through the .NET Framework 2.0 Configuration tool (Mscorcfg.msc). A shortcut to this tool can be found in the Administrative Tools menu. The process is pretty straightforward. The only trick is to get the syntax right when entering the UNC into the code group:
file://\\server\share\*