Oh, I found the solution myself!!
To get rid of this annoying pop-up message do the following:
Open Control Panel -> Internet Options.
Open Security-tab; mark the zone “Local intranet”, press the “Sites” button,
UN-tick “Automatically detect intranet network”,THEN
tick “Include all local (intranet) sites not listed in other zones” and
tick “Include all network paths (UNCs)”.
