Excel 2007 : Download and open an .xlsm with a pivot table causes a Data Connection Security Alert

Hi,
Please let me know if there is a better place to post this kind of a technical question.
I have a .xlsm Excel 2007 workbook (I did not try it with a .xlsx). When i open it by double clicking it from windows explorer, there is no issue. When the file is streamed from a website to the browser (with this header - response.addHeader("content-disposition", "attachment; filename=" + some-file-name)) and opened (instead of saved when the browser prompts you), i get a "Security Warning - Data connections have been disabled" warning and the [Options...] button. This issue started after adding a Pivot Table to the file (I also tried it with a very simple .xlsm to confirm the behavior and the cause).

Clicking the Options button brings up a "Security Alert - Data Connection" popup with 2 radio button options: (1) help protect me from unknown content (recommended), and (2) enable content.
selecting (1) and click ok
select pivot table and refresh, get this popup error: .... security concern. The operation connects to an external data source..
when i click OK, i get another popup error: "Cannot open PivotTable source file 'C:\Documents and Settings\USERID\.......\[......some-file-name [1].xlsm]Sheet1'", with an OK button, if i click ok, the pivot table does not update
(Note: if both the server where the document was streamed from, and the client (the machine where the excel spreadsheet is opened) are the same machine, I don't get the last popup "Cannot open pivot table ....".